Anticipative Girsanov transformations and Skorohod stochastic differential equations

DOI10.1090/memo/0533zbMath0849.60053OpenAlexW2059636123MaRDI QIDQ4309696

Rainer Buckdahn

Publication date: 7 November 1996

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/memo/0533

zbMATH Keywords

Skorokhod integralGirsanov transformationlocal solution

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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