Itô's lemma without non-anticipatory conditions (Q910101)
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scientific article; zbMATH DE number 4138876
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Itô's lemma without non-anticipatory conditions |
scientific article; zbMATH DE number 4138876 |
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Itô's lemma without non-anticipatory conditions (English)
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1991
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A stochastic integral (with respect to Brownian motion) which extends Itô's integral to anticipatory integrands is constructed and investigated. This stochastic integral is different from the Skorokhod integral. The Itô Lemma is proved for this integral.
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stochastic integral
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anticipatory integrands
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Itô lemma
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