On near-martingales and a class of anticipating linear stochastic differential equations

DOI10.1142/s0219025723500297MaRDI QIDQ6616133

Padmanabhan Sundar, Pujan Shrestha, Unnamed Author, Hui-Hsiung Kuo

Publication date: 8 October 2024

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationslarge deviationsoptional stopping theoremanticipating integralsnear-martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

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