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Progressive Stochastic Processes and an Application to the Itô Integral

By Svenja Kaden and Jürgen Potthoff

Abstract

An elementary proof of the theorem of Chung-Doob-Meyer on the existence of a progressively measurable modification of a measurable adapted process is given. It is shown how this result can be applied to the construction of the Itô integral with respect to a Brownian motion

Topics: 510 Mathematik
Year: 2001
OAI identifier: oai:ub-madoc.bib.uni-mannheim.de:1610

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