Anticipating integral equations (Q1841270): Difference between revisions

The authors consider a stochastic Volterra equation of the form \[ X_t= Y_t+ \int^t_0 F_1(t,s,X_s) ds+\int^t_0 G(t,s)H (s,X_s)dW_s, \] where \(W\) is a real Brownian motion which generates the filtration \({\mathcal F}\), \(H(s,x)\) is a progressively measurable process and \(G(t,s)\) is \({\mathcal F}_t\)-measurable and smooth in Malliavin calculus sense. This equation is anticipative and the stochastic integral can be defined in the Skorokhod sense or in the forward sense. The results of this paper are the existence and uniqueness of solution of this anticipative equation seen in the Skorokhod sense (Theorem 5.1) and in the forward sense (Theorem 5.2). The main tools are \(L^p\) estimates for the Skorokhod integral (Proposition 3.8) and for the forward integral (Proposition 4.7).