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摘要
It is well known that Ito's formula is an essential tool in stochastic analysis. But it cannot be used for general stochastic Volterra integral equations (SVIEs). In this paper, we first introduce the concept of quasi-Ito process which is a generalization of well-known Ito process. And then we extend Ito's formula to a more general form applicable to some kinds of SVIEs. Furthermore, the stability in probability for some SVIEs is analyzed by the generalized Ito's formula. Our work shows that the generalized Ito's formula is powerful and flexible to use in many relevant fields.
- 出版日期2012
- 单位哈尔滨工业大学
