Multivariate stochastic integrals with respect to independently scattered random measures on δ-rings

2017/11/02 by Kremer, Dustin, Scheffler, Hans-Peter
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1711.00890

Abstract

In this paper we construct general vector-valued infinite-divisible independently scattered random measures with values in ℝ^m and their corresponding stochastic integrals. Moreover, given such a random measure, the class of all integrable matrix-valued deterministic functions is characterized in terms of certain characteristics of the random measure. In addition a general construction principle is presented.

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