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Reports (Research Report) Year : 1999

On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand

Abstract

We show that the marginal law of the stochastic integral with respect to a standard Brownian motion of a uniformly elliptic and bounded progressive process doesn't weight points.

Domains

Other [cs.OH]
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Dates and versions

inria-00072973 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00072973 , version 1

Cite

Claude Martini. On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand. [Research Report] RR-3696, INRIA. 1999. ⟨inria-00072973⟩
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