| dc.contributor.author | Grobler, Jacobus J. | |
| dc.contributor.author | Labuschagne, Coenraad C.A. | |
| dc.date.accessioned | 2016-09-02T09:01:35Z | |
| dc.date.available | 2016-09-02T09:01:35Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Grobler, J.J. & Labuschagne, C.C.A. 2015. The Itô integral for Brownian motion in vector lattices. Part 2. Journal of mathematical analysis and applications, 423(1):820-833. [https://doi.org/10.1016/j.jmaa.2014.09.063] | en_US |
| dc.identifier.issn | 0022-247X | |
| dc.identifier.issn | 1096-0813 (Online) | |
| dc.identifier.uri | http://hdl.handle.net/10394/18516 | |
| dc.identifier.uri | https://doi.org/10.1016/j.jmaa.2014.09.063 | |
| dc.identifier.uri | https://www.sciencedirect.com/science/article/pii/S0022247X14008968 | |
| dc.description.abstract | The Itô integral for Brownian motion in a vector lattice, as constructed in Part 1 of this paper, is extended to accommodate a larger class of integrands. This extension provides an analogue of the indefinite Itô integral in the classical setting which yields a local martingale. The assumption is that there exists a conditional expectation operator on the vector lattice and the construction does not depend on a probability measure space. The classical case of the extended Itô integral is a special case of the constructed integral in the vector lattice | en_US |
| dc.description.sponsorship | National Research Foundation (Grant No. 87502), South Africa | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.subject | Martingale | en_US |
| dc.subject | Bochner integral | en_US |
| dc.subject | Brownian motion | en_US |
| dc.subject | Conditional expectation | en_US |
| dc.subject | Itô integral | en_US |
| dc.subject | Vector lattice | en_US |
| dc.title | The Itô integral for Brownian motion in vector lattices. Part 2 | en_US |
| dc.type | Article | en_US |
| dc.contributor.researchID | 10173501 - Grobler, Jacobus Johannes | |
