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1 results

  • Representation of the characteristic function of a stochastic integral

  • M. Riedel
  • Journal:
    Journal of Applied Probability / Volume 17 / Issue 2 / June 1980
    Published online by Cambridge University Press:
    14 July 2016, pp. 448-455
    Print publication:
    June 1980

  • Let X(t) be a continuous, homogeneous stochastic process with independent increments characterized by a, σ, M, N in the Lévy representation formula. In this note we obtain the Lévy canonical representation of the characteristic function of a stochastic integral (in the sense of convergence in probability) of the form (where υ(t) is a non-decreasing, non-negative and left-continuous function) in terms of υ(t), a, σ, M, N.