ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES

DOI10.1081/SAP-120006106zbMath1013.60025OpenAlexW2085919296MaRDI QIDQ4796577

Tsung-Ming Chao, Ching-Sung Chou

Publication date: 26 June 2003

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

Full work available at URL: https://doi.org/10.1081/sap-120006106

zbMATH Keywords

forward integralsubstitution formulaanticipative stochastic differential equations

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Cites Work

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• Itô's lemma without non-anticipatory conditions
• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Semi-martingales et grossissement d'une filtration
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]