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Skorohod stochastic integration with respect to non-adapted processes on Wiener space. (English) Zbl 0918.60038
Summary: We define a Skorokhod type anticipative stochastic integral that extends the Itô integral not only with respect to the Wiener process, but also with respect to a wide class of stochastic processes satisfying certain homogeneity and smoothness conditions, without requirements relative to filtrations such as adaptness. Using this integral, a change of variable formula that extends the classical and Skorokhod Itô formulas is obtained.

MSC:
60H05 Stochastic integrals
60H07 Stochastic calculus of variations and the Malliavin calculus
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