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arXiv · 1606.05792

Stratonovich-type integral with respect to a general stochastic measure

Vadym Radchenko
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Abstract

Let $\mu$ be a general stochastic measure, where we assume for $\mu$ only $\sigma$-additivity in probability and continuity of paths. We prove that the symmetric integral $\int_{[0,T]}f(\mu_t, t)\circ\,{\rm d}\mu_t$ is well defined. For stochastic equations with this integral, we obtain the existence and uniqueness of a solution.

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Vadym Radchenko. 2016-06-18. Stratonovich-type integral with respect to a general stochastic measure. https://doi.org/10.1080/17442508.2016.1197924

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