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On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand

Claude Martini 1
1 MATHFI - Financial mathematics
Inria Paris-Rocquencourt, ENPC - École des Ponts ParisTech, UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12
Abstract : We show that the marginal law of the stochastic integral with respect to a standard Brownian motion of a uniformly elliptic and bounded progressive process doesn't weight points.
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https://hal.inria.fr/inria-00072973
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 11:29:44 AM
Last modification on : Wednesday, September 4, 2019 - 1:52:07 PM
Long-term archiving on: : Thursday, March 24, 2011 - 12:22:59 PM

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  • HAL Id : inria-00072973, version 1

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Claude Martini. On the Marginal Laws of One-Dimensional Stochastic Integrals with Uniformly Elliptic Integrand. [Research Report] RR-3696, INRIA. 1999. ⟨inria-00072973⟩

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