The Ogawa stochastic integral is shortly reviewed and formulated in the framework of abstract Wiener spaces. The condition of universal Ogawa integrability in the multidimensional case is investigated by exploiting Ramer’s functional, proving that it cannot hold in general without the introduction of a “renormalization term”. Explicit examples are provided.
Ogawa Integrability and a Condition for Convergence in the Multidimensional Case / Mazzucchi, Sonia; Cangiotti, Nicolò. - In: JOURNAL OF STOCHASTIC ANALYSIS. - ISSN 2689-6931. - 2020:1(2020).
Ogawa Integrability and a Condition for Convergence in the Multidimensional Case
Mazzucchi, Sonia;Cangiotti, Nicolò
2020-01-01
Abstract
The Ogawa stochastic integral is shortly reviewed and formulated in the framework of abstract Wiener spaces. The condition of universal Ogawa integrability in the multidimensional case is investigated by exploiting Ramer’s functional, proving that it cannot hold in general without the introduction of a “renormalization term”. Explicit examples are provided.File in questo prodotto:
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