Title: STOCHASTIC CALCULUS FOR ANALOGUE OF WIENER PROCESS
Abstract: In this paper, we define an analogue of generalized Wiener measure and investigate its basic properties. We define ( type) stochastic integrals with respect to the generalized Wiener process and prove the formula. The existence and uniqueness of the solution of stochastic differential equation associated with the generalized Wiener process is proved. Finally, we generalize the linear filtering theory of Kalman-Bucy to the case of a generalized Wiener process.
Publication Year: 2007
Publication Date: 2007-11-01
Language: en
Type: article
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Cited By Count: 1
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