Anticipating differential equation on a manifold and approximations

DOI10.1016/0378-4754(93)E0066-EzbMath0824.60057MaRDI QIDQ1897657

Monique Pontier, A. Grorud

Publication date: 6 November 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

stochastic calculusSkorokhod integralMalliavin derivativesecond-order geometryanticipating stochastic differential equationmanifold valued anticipating process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• 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
• Linear Skorohod stochastic differential equations
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• Compact manifolds with a little negative curvature
• Integrator properties of the skorohod integral
• Calcul anticipatif d'ordre deux

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