First some results that allow to compare Gaussian measures for C and L2 are given. Then they are applied to the theory of stochastic differential equations, proving in a simple fashion the just known fact that the Itô and whitenoise approach produce essentially the same measures.
relationships between measures induced by Ito and white noise linear equations
GERMANI, Alfredo;
1984-01-01
Abstract
First some results that allow to compare Gaussian measures for C and L2 are given. Then they are applied to the theory of stochastic differential equations, proving in a simple fashion the just known fact that the Itô and whitenoise approach produce essentially the same measures.File in questo prodotto:
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