27
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Sample path properties of stochastic integrals, and stochastic differentiation

&
Pages 261-293 | Received 24 May 1988, Published online: 04 Apr 2007
 

Abstract

Let B be a Brownian motion, and X = H.B be a stochastic integral of B. We give conditions on the smoothness of the process H which imply that if Ms a singular point of the sample path of B (ω) (such as a local maximum, a slow point, or a fast point) then t is also a singular point of X (ω). In the final section we give an application to stochastic differential equations

*Research partially supported by N.S.E.R.C. of Canada.

*Research partially supported by N.S.E.R.C. of Canada.

Notes

*Research partially supported by N.S.E.R.C. of Canada.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.