A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-16, 16 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-08-13
Country of Publication
Egypt
No. of Pages
16
Main Subjects
Abstract EN
It is well known that Itô’s formula is an essential tool in stochastic analysis.
But it cannot be used for general stochastic Volterra integral equations (SVIEs).
In this paper, we first introduce the concept of quasi-Itô process which is a generalization of well-known Itô process.
And then we extend Itô’s formula to a more general form applicable to some kinds of SVIEs.
Furthermore, the stability in probability for some SVIEs is analyzed by the generalized Itô’s formula.
Our work shows that the generalized Itô’s formula is powerful and flexible to use in many relevant fields.
American Psychological Association (APA)
Li, Wenxue& Liu, Meng& Wang, Ke. 2012. A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations. Journal of Applied Mathematics،Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-1028806
Modern Language Association (MLA)
Li, Wenxue…[et al.]. A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations. Journal of Applied Mathematics No. 2012 (2012), pp.1-16.
https://search.emarefa.net/detail/BIM-1028806
American Medical Association (AMA)
Li, Wenxue& Liu, Meng& Wang, Ke. A Generalization of Itô's Formula and the Stability of Stochastic Volterra Integral Equations. Journal of Applied Mathematics. 2012. Vol. 2012, no. 2012, pp.1-16.
https://search.emarefa.net/detail/BIM-1028806
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1028806