Pathwise stochastic integrals and Itô formula for multidimensional Gaussian processes

Zhe Chen; Lauri Viitasaari

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arXiv · 1401.4722

Pathwise stochastic integrals and Itô formula for multidimensional Gaussian processes

Zhe Chen·Lauri Viitasaari

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Abstract

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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Zhe Chen, Lauri Viitasaari. 2014-11-23. Pathwise stochastic integrals and Itô formula for multidimensional Gaussian processes. https://arxiv.org/abs/1401.4722

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