Theory of Probability and Mathematical Statistics
(Teoriya Imovirnostei ta Matematychna Statystyka)
Fourier transform of general stochastic measures
V. M. Radchenko, N. O. Stefans'ka
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Abstract: The Fourier transform of general stochastic measures in is defined. The inversion theorem for this transform is proved, connection with convergence of stochastic integrals is established. Example of applying for convergence of solutions of stochastic heat equation is considered.
Keywords: Stochastic measure, Fourier transform of random processes, weak convergence, stochastic heat equation
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