Title of article
Green formulas in anticipating stochastic calculus
Author/Authors
Delgado، نويسنده , , Rosario and Sanz-Solé، نويسنده , , Marta، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
36
From page
113
To page
148
Abstract
In this paper we state Green type formulas for nonadapted processes with respect to “anticipating semimartingales”, say U, in the Stratonovich and the Skorohod formulation. To this end we develop some notions of anticipating stochastic calculus with respect to U, based on multiple and line integrals. The basic ingredients are a Hu-Meyer formula for multiple integrals with respect to U and a Fubini theorem for the multiple Stratonovich integral.
Keywords
Anticipating stochastic calculus , Skorohod integral , Stratonovich integral , trace , Green formulas
Journal title
Stochastic Processes and their Applications
Serial Year
1995
Journal title
Stochastic Processes and their Applications
Record number
1575693
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