Linear Skorohod stochastic differential equations

DOI10.1007/BF01192163zbMath0735.60057MaRDI QIDQ1178980

Rainer Buckdahn

Publication date: 26 June 1992

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

zbMATH Keywords

stochastic differential equationBrownian motionSkorokhod integralWiener spaceexistence and uniqueness of a solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (14)

A conditional approach to the anticipating Girsanov transformation ⋮ Linear stochastic differential equations and Wick products ⋮ Anticipating differential equation on a manifold and approximations ⋮ Occupation densities of stratonovitch stochastic differential equations with boundary conditions ⋮ Girsanov theorem for anticipative shifts on Poisson space ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ Linear Skorokhod SDE: Evaluation of Expectations of Functionals ⋮ A new approach to stochastic evolution equations with adapted drift ⋮ A simple comparison between Skorokhod & Russo-Vallois integration for insider trading ⋮ Approximate solutions to anticipative stochastic differential equations ⋮ Skorohod stochastic differential equations of diffusion type ⋮ Anticipative stochastic differential equations with nonsmooth diffusion coefficient ⋮ Some linear fractional stochastic equations ⋮ Forward integration, convergence and non-adapted pointwise multipliers

Cites Work

• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• On nonlinear transformations of Gaussian measures
• Skorohod stochastic differential equations with boundary conditions
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