一 种 基 于 停 线 的 随 机 积 分

一种基于停线的随机积分

张卓奎¹, 陈慧婵¹, 任小红²

1. 西安电子科技大学理学院, 西安 710071; 2. 陕西科技大学理学院, 陕西省咸阳 712081

收稿日期:2005-11-01 修回日期:1900-01-01 出版日期:2006-09-26 发布日期:2006-09-26
通讯作者: 张卓奎

Stochastic Integral Based on Stopping Line

ZHANG Zhuokui¹, CHEN Huichan¹, REN Xiaohong²

1. School of Science, Xidian University, Xi’an 710071, China; 2. College of Science, Shaanxi University of Science and Technology, Xianyang 712081, Shaanxi Province, China

Received:2005-11-01 Revised:1900-01-01 Online:2006-09-26 Published:2006-09-26
Contact: ZHANG Zhuokui

摘要/Abstract

摘要： 基于停线局部平方可积强鞅二次变差的性质, 定义了可料过程关于局部平方可积强鞅的随机积分, 并得到这种随机积分具有局部平方可积强鞅的遗传性等结果, 推广了Cairoli和Walsh的结果.

关键词: 停线, 局部平方可积强鞅, 随机积分

Abstract: Based on the properties of the quadratic variation of local square integrable strong martingales, the stochastic integral of predictable processes with respect to local square integrable strong martingales is defined. Some important results that this stochastic integral is still local square in tegrable strong martingale are obtained. These results contain and extend some results which have been proved by Cairoli and Walsh.

Key words: stopping line, local square strong martingale, stoch astic integral

中图分类号:

O211.6

张卓奎, 陈慧婵, 任小红. 一种基于停线的随机积分[J]. J4, 2006, 44(05): 745-747.

ZHANG Zhuokui, CHEN Huichan, REN Xiaohong. Stochastic Integral Based on Stopping Line[J]. J4, 2006, 44(05): 745-747.

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