A generalization of an extended stochastic integral

S. Albeverio, Yu. M. Berezansky, and V. Tesko

Ukrainian Math. J. 59 (2007), no. 5, 645-677

Abstract

In this work we propose a generalization of an extended stochastic integral in the case of integration with respect to a wide class of random processes. In particular we obtain conditions for the coincidence of our integral with the classical Ito stochastic integral.

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