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A Malliavin-type anticipative stochastic calculus. (English) Zbl 0639.60058

Two variants of extended stochastic integral calculus are exposed; the first due to A. V. Skorokhod [Teor. Verojatn. Primen. 20, 223-238 (1975; Zbl 0333.60060)] and the second due to S. Ogawa [See TĂ´hoku Math. J., II. Ser. 36, 41-48 (1984; Zbl 0551.60058)] and the author and V. J. Mizel [Ann. Probab. 10, 435-450 (1982; Zbl 0499.60066)]. Connections with Malliavin calculus are discussed.
Reviewer: A.Yu.Veretennikov

MSC:

60H05 Stochastic integrals
60G30 Continuity and singularity of induced measures
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