| 连续局部鞅的无穷维随机积分表示 |
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| 引用本文： | 何凯,曹桂兰.连续局部鞅的无穷维随机积分表示[J].华中科技大学学报(自然科学版),2006,34(1):122-124. |
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| 作者姓名： | 何凯 曹桂兰 |
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| 作者单位： | 华中科技大学,数学系,湖北,武汉,430074 |
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| 摘 要： | 证明满足一定条件的连续局部鞅可以表示成关于无穷个独立的Brown运动的随机积分,并由此得到由无穷个独立的Brown运动驱动的随机微分方程的弱解的存在性等价于某个鞅问题的解的存在性.
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| 关 键 词： | 局部鞅 鞅问题 概率空间的拓广 |
| 文章编号： | 1671-4512(2006)01-0122-03 |
| 收稿时间： | 09 20 2004 12:00AM |
| 修稿时间： | 2004年9月20日 |
Representation of infinite dimensional stochastic integral with continuous local martingale |
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| He Kai,Cao Guilan.Representation of infinite dimensional stochastic integral with continuous local martingale[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2006,34(1):122-124. |
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| Authors: | He Kai Cao Guilan |
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| Abstract: | It was shown that on some conditions a continuous local martingale can be represented as a stochastic integral driven by an infinite sequence of independent Brownian motions.It was concluded that the existence of solution to SDE driven by countable many Brownian motions was equivalent to the existence of weak solution to a martingale problem. |
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| Keywords: | local martingale martingale problem probability space extension |
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