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arXiv 0712.3908math.PR
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基于简单对称随机游动的随机积分

Stochastic integration based on simple, symmetric random walks

Tamás Szabados, Balázs Székely

摘要:

本文提出了一种新的随机积分方法。通过简单的对称随机游动对积分器进行路径近似。希望这种方法在教学上比其他现有方法更有利,更透明,技术要求更低。在理论的很大一部分中,人们有A. S。紧集上的一致收敛性特别是,它给出了A. S.积分器的有限变差函数的随机积分的收敛性,这在一般情况下不是càdlàg。

英文摘要:

A new approach to stochastic integration is described, which is based on an a.s. pathwise approximation of the integrator by simple, symmetric random walks. Hopefully, this method is didactically more advantageous, more transparent, and technically less demanding than other existing ones. In a large part of the theory one has a.s. uniform convergence on compacts. In particular, it gives a.s. convergence for the stochastic integral of a finite variation function of the integrator, which is not càdlàg in general.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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