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单词 StochasticIntegrationAsALimitOfRiemannSums
释义

stochastic integration as a limit of Riemann sums


As with the Riemann (http://planetmath.org/RiemannIntegral) and Riemann-Stieltjes integrals, the stochastic integral can be calculated as a limit of approximations computed on partitionsPlanetmathPlanetmath (http://planetmath.org/Partition3), called Riemann sums.

Let Pn be a sequence of partitions of +,

Pn={0=τ0nτ1n}

where, τkn can, in general, be stopping times. Suppose that the mesh |Pnt|=supk(τknt-τk-1nt) tends to zero in probability (http://planetmath.org/ConvergenceInProbability) as n, for each time t>0.

The stochastic integral of a process Y with respect to X can be defined on each of the partitions,

Itn(Y,X)kYτk-1n(Xτknt-Xτk-1nt).

Since the times τkn tend to infinityMathworldPlanetmath as k, all but finitely many terms are zero.Note that here, the process Y is sampled at τk-1n, which are the left hand points of the intervals. For this reason, the stochastic integral is sometimes called the forward integral. Alternatively, the backward integral can be computed by sampling Y at time tk and the Stratonovich integral takes the averageMathworldPlanetmath of Ytk-1 and Ytk. However, these alternative integrals are less general and may not exist even when Y is a continuousMathworldPlanetmathPlanetmath and adapted process.

For left-continuous integrands, the approximations do indeed converge to the stochastic integral.

Theorem 1.

Suppose that X is a semimartingale and Y is an adapted, left-continuous and locally bounded process. Then,

Itn(Y,X)0tY𝑑X

in probability as n. Furthermore, this converges ucp and in the semimartingale topology.

Similarly, convergence is also obtained for cadlag integrands. However, in this case, it is necessary to use the left limit Ys- in the integral. The integral of Y does not even exist when it is a general cadlag adapted process, as it might not be predictable.

Theorem 2.

Suppose that X is a semimartingale and Y is a cadlag adapted process. Then,

Itn(Y,X)0tYs-𝑑Xs

in probability as n. Furthermore, this converges ucp and in the semimartingale topology.

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更新时间:2025/5/4 13:08:57