The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus

DOI10.1007/BF00320921zbMath0635.60059MaRDI QIDQ1097576

Ali Süleyman Üstünel

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusItô formulaanticipative processesIto-Vent'tsel-type formulanonmonotonous time scale

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

The doob‐meyer decomposition for anticipating processes ⋮ Filtrage approche et calcul stochastique non causal ⋮ Differentiable measures and the Malliavin calculus ⋮ Stochastic integration with respect to Gaussian processes.

Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
• Generalized stochastic integrals and the Malliavin calculus
• A two-sided stochastic integral and its calculus
• Stochastic calculus with anticipating integrands
• Mécanique aléatoire
• L'intégrale stochastique comme opérateur de divergence dans l'espace fonctionnel
• Gaussian measures in Banach spaces
• Extension of the ito calculus via the malliavin calculus
• On a Generalization of a Stochastic Integral
• Representation of the distributions on Wiener space and stochastic calculus of variations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus