Martingale structure of Skorohod integral processes

DOI10.1214/009117905000000756zbMath1134.60039arXivmath/0502208OpenAlexW2949978803MaRDI QIDQ2497174

Michèle Thieullen, Giovanni Peccati, Ciprian A. Tudor

Publication date: 3 August 2006

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0502208

zbMATH Keywords

martingalechaos expansionSkorohod integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Anticipating integrals and martingales on the Poisson space ⋮ UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES

Cites Work

• Stochastic calculus with anticipating integrands
• Time reversal on Lévy processes
• Martingale-type stochastic calculus for anticipating integral processes
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Stochastic processes possessing a skorohod integral representation
• On a Generalization of a Stochastic Integral
• Skorohod stochastic differential equations on random intervals
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
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