Enlarged filtrations for diffusions

DOI10.1016/0304-4149(87)90031-7zbMath0618.60075OpenAlexW2013754063MaRDI QIDQ1822418

Ata N. Al-Hussaini, Robert J. Elliott

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90031-7

zbMATH Keywords

filtrationStratonovich integralsemi-martingale decompositionfixed endpoint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cites Work

• Reverse time diffusions
• On backward stochastic differential equations
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