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Copyright © 2012 Wenxue Li et al. Wenxue Li et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

It is well known that Itô'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-Itô process which is a generalization of well-known Itô process. And then we extend Itô'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 Itô's formula. Our work shows that the generalized Itô's formula is powerful and flexible to use in many relevant fields.

Details

Title
A Generalization of Ito's Formula and the Stability of Stochastic Volterra Integral Equations
Author
Li, Wenxue; Liu, Meng; Wang, Ke
Publication year
2012
Publication date
2012
Publisher
John Wiley & Sons, Inc.
ISSN
1110757X
e-ISSN
16870042
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
1038344835
Copyright
Copyright © 2012 Wenxue Li et al. Wenxue Li et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.