Linear stochastic differential equations and Wick products

DOI10.1007/BF01206230zbMath0801.60045MaRDI QIDQ1333582

David Nualart, Rainer Buckdahn

Publication date: 21 November 1994

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

zbMATH Keywords

existence and uniquenessWiener chaosSkorokhod stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (14)

Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos ⋮ Wick product and stochastic partial differential equations with Poisson measure ⋮ A stochastic oscillator with time-dependent damping ⋮ Linear Skorokhod SDE: Evaluation of Expectations of Functionals ⋮ Optimal pointwise approximation of anticipating SDEs ⋮ Stochastic heat equation with Ornstein-Uhlenbeck operator ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Unnamed Item ⋮ Iterative method for non-adapted fuzzy stochastic differential equations ⋮ Optimal approximation of Skorohod integrals ⋮ Algebraic and differential properties of polynomial Fourier transformation ⋮ GIRSANOV TRANSFORMATION AND ITS APPLICATION TO THE THEORY OF ENLARGEMENT OF FILTRATIONS ⋮ Stochastic heat equation driven by fractional noise and local time ⋮ Anticipative stochastic differential equations with nonsmooth diffusion coefficient

Cites Work

• Anticipative Girsanov transformations
• Stochastic calculus with anticipating integrands
• Linear Skorohod stochastic differential equations
• Dirichlet forms and analysis on Wiener space
• On a Generalization of a Stochastic Integral
• Skorohod stochastic differential equations with boundary conditions
• Unnamed Item
• Unnamed Item

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