GAUSSIAN CHAOS AND LOCAL H$\ddot{O}LDER$ PROPERTY OF STOCHASTIC INTEGRAL PROCESS

  • KIM JOO-MOK (Mathematics Section, College of General Education, Semyung University)
  • 발행 : 2006.01.01

초록

We consider a stochastic integral process represented by multiple Ito-Wiener integrals. We derive gaussian chaos which has some shift continuous function. We get continuity property of self-similar process represented by multiple integrals and finally we show that $Y_{H_t}$ (t) is continuous in t with probability one for Holder function $H_t$ of exponent $\beta$.

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