Abstract

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.
Lingua originaleEnglish
pagine (da-a)1167-1188
Numero di pagine22
RivistaStochastic Analysis and Applications
Volume25
DOI
Stato di pubblicazionePubblicato - 2007

Keywords

  • Convergence of semimartingales
  • Generalized integrands
  • Infinite dimensional stochastic integration
  • Measure-valued integrands
  • Reproducing kernel Hilbert spaces.

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