Pathwise stochastic integrals and Itô formula for multidimensional Gaussian processes
Chen, Zhe · Viitasaari, Lauri
Original · EN
In this article we study existence of pathwise stochastic integrals with respect to a general class of n-dimensional Gaussian processes and a wide class of adapted integrands. More precisely, we study integrands which are functions that are of locally bounded variation with respect to all variables. Moreover, multidimensional Itô formula is derived.
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