Multivariate stochastic integrals with respect to independently scattered random measures on $\delta$-rings

  title={Multivariate stochastic integrals with respect to independently scattered random measures on \$\delta\$-rings},
  author={Dustin Kremer and Hans-Peter Scheffler},
  journal={Publicationes Mathematicae Debrecen},
In this paper we construct general vector-valued infinite-divisible independently scattered random measures with values in $\mathbb{R}^m$ and their corresponding stochastic integrals. Moreover, given such a random measure, the class of all integrable matrix-valued deterministic functions is characterized in terms of certain characteristics of the random measure. In addition a general construction principle is presented. 
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  • Mathematics, Computer Science
  • 2020
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