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Differentiation formulas for stochastic integrals in the plane. (English) Zbl 0372.60078


MSC:

60H05 Stochastic integrals
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65 Brownian motion
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References:

[1] Cairoli, R., Sur une équation differtielle stochastique, Complete Fendus Acad. Sc., 1739-1742 (1972), Paris 274 Ser. A · Zbl 0244.60045
[2] Cairoli, R.; Walsh, J. B., Stochastic integrals in the plane, Acta Mathematica, 134, 111-183 (1975) · Zbl 0334.60026
[3] Wong, E., The dynamics of random fields, Proc. U.S.-Japan Joint Seminar on Stochastic Methods in Dynamical Problems (1971), Kyoto
[4] Wong, E.; Zakai, M., Martingales and stochastic integrals for processes with a multidimensional parameter, Z. für Wahrscheinlichkeitstheorie verw, 29, 109-122 (1974), Gabiete · Zbl 0282.60030
[5] Wong, E., A likelihood ratio formula for two-dimensional random fields, IEEE Trans. Information Theory, IT-20, 418-422 (1974) · Zbl 0347.60037
[6] Wong, E.; Zakai, M., Weak martingales and stochastic integrals in the plane, Ann. Prob., 4, 570-586 (1976) · Zbl 0359.60053
[7] Wong, E.; Zakai, M., An extension of stochastic integrals in the plane, Ann. Prob., 5, 770-778 (1977) · Zbl 0376.60060
[8] Wong, E.; Zakai, M., The sample function continuity of stochastic integrals in the plane, Ann. Prob., 5, 1024-1027 (1977) · Zbl 0374.60078
[9] Zimmerman, G. J., Some sample function properties of the two-parameter Gaussian process, Ann. Math. Statist., 43, 1235-1246 (1972) · Zbl 0244.60032
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