Anticipating integrals for a class of martingales

DOI10.2307/3318533zbMath0897.60058OpenAlexW2089724057MaRDI QIDQ1385008

Jin Ma, Jaime San Martín, Philip E. Protter

Publication date: 25 May 1998

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1175865491

zbMATH Keywords

integration by parts formulaMalliavin derivativechaos decompositionnormal martingaleanticipating stochastic differential equationanticipating stochastic integralstructure equation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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