Abstract
Let E be an l-dimensional Euclidean space, ℬ be the σ-algebra of its Borel sets. According to subsection 3.15.4, a non-terminating continuous Markov process X =(xt + ∞, ℳ t , P x ) on the space (E,ℬ) with transition function
(the integral is with respect to Lebesgue measure in E) is called a Wiener process. We will assume that the process X is complete (cf. subsection 3.6).
Translated by A. MAITRA.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 1965 Springer-Verlag Berlin · Göttingen · Heidelberg
About this chapter
Cite this chapter
Dynkin, E.B. (1965). Stochastic integrals. In: Markov Processes. Die Grundlehren der Mathematischen Wissenschaften, vol 121/122. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-00031-1_8
Download citation
DOI: https://doi.org/10.1007/978-3-662-00031-1_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-00033-5
Online ISBN: 978-3-662-00031-1
eBook Packages: Springer Book Archive