Accession Number : ADA140417

Title :   Approximating Multiple ITO Integrals with 'Band Limited' Processes.

Descriptive Note : Technical rept.,

Corporate Author : BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS

Personal Author(s) : Kushner,H J ; Huang,H

PDF Url : ADA140417

Report Date : Oct 1983

Pagination or Media Count : 32

Abstract : This paper is concerned with the problem of the approximation of Ito integrals using band limited processes. The problem is treated in the context of the theory of weak convergence of measures and the correction terms exhibited. The method is such that the conditions used can readily be weakened. An application to a likelihood functional and hypothesis testing problem is given. There, the weak convergence result (rather than mere convergence of finite dimensional distributions) is essential if the limit approximation is to make sense as an approximation to the likelihood functional. The correction terms depend only on the limit (as epsilon approaches limit of 0) of the correlation function of the (renormalized) n sub epsilon.

Descriptors :   *Integrals, *Approximation(Mathematics), Weak convergence, Vector analysis, Correlation, Broadband, Noise, Mathematical filters

Subject Categories : Numerical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE