TY - JOUR
T1 - On a class of generalized integrands
AU - De Donno, Marzia
PY - 2007
Y1 - 2007
N2 - In the framework of the theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, introduced by De Donno and Pratelli as a mathematical background to the theory of bond markets, we analyze a special class of integrands that preserve some nice properties of the finite-dimensional stochastic integral. In particular, we focus our attention on the class of processes considered by Mikulevicius and Rozovskii for the case of a locally square integrable cylindrical martingale and which includes an appropriate set of measure-valued processes.
AB - In the framework of the theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, introduced by De Donno and Pratelli as a mathematical background to the theory of bond markets, we analyze a special class of integrands that preserve some nice properties of the finite-dimensional stochastic integral. In particular, we focus our attention on the class of processes considered by Mikulevicius and Rozovskii for the case of a locally square integrable cylindrical martingale and which includes an appropriate set of measure-valued processes.
KW - Convergence of semimartingales
KW - Generalized integrands
KW - Infinite dimensional stochastic integration
KW - Measure-valued integrands
KW - Reproducing kernel Hilbert spaces.
KW - Convergence of semimartingales
KW - Generalized integrands
KW - Infinite dimensional stochastic integration
KW - Measure-valued integrands
KW - Reproducing kernel Hilbert spaces.
UR - http://hdl.handle.net/10807/168914
U2 - 10.1080/07362990701567272
DO - 10.1080/07362990701567272
M3 - Article
SN - 0736-2994
VL - 25
SP - 1167
EP - 1188
JO - Stochastic Analysis and Applications
JF - Stochastic Analysis and Applications
ER -