This article is cited in 4 papers

An approximation of the Ito and Stratonovich stochastic integrals by elements of a direct product of algebras of generalized random processes

N. V. Lazakovich, S. P. Stashulenok

Belarusian State University, Faculty of Mathematics and Mechanics

Abstract: The paper investigates a problem of approximation of multidimensional Ito and Stratonovich stochastic integrals by finite sums of elements of a direct product of algebras of generalized random processes.

Keywords: standard process of Brownian motion, Ito stochastic integral, Stratonovich stochastic integral, generalized random processes, direct product of algebras of generalized random processes, generalized Ito differential, generalized Stratonovich differential.

Received: 03.07.1995

DOI: 10.4213/tvp3202

 English version: Theory of Probability and its Applications, 1997, 41:4, 695–715

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