Calcul stochastique non adapté pour des processus à deux paramètres: Formules de changement de variables de type Stratonovitch et de type Skorohod. (Anticipative stochastic calculus for processes with two parameters: Change of variables formulae of Stratonovich and of Skorokhod type) (Q2277664): Difference between revisions
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Revision as of 07:32, 5 March 2024
scientific article
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English | Calcul stochastique non adapté pour des processus à deux paramètres: Formules de changement de variables de type Stratonovitch et de type Skorohod. (Anticipative stochastic calculus for processes with two parameters: Change of variables formulae of Stratonovich and of Skorokhod type) |
scientific article |
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Calcul stochastique non adapté pour des processus à deux paramètres: Formules de changement de variables de type Stratonovitch et de type Skorohod. (Anticipative stochastic calculus for processes with two parameters: Change of variables formulae of Stratonovich and of Skorokhod type) (English)
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1991
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We prove a Stratonovich-type change of variable formula for anticipative processes on \([0,1]^ 2\). The formula is the same as the existing one from deterministic calculus. In order to do so we define simple and double Stratonovich integrals. We deduce a Skorokhod-type change of variable formula which does not contain any line integral. Our method consists in using regularization of the Wiener process obtained by convolution.
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Stratonovich-type change of variable formula
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anticipative processes
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Skorokhod-type change of variable formula
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Wiener process
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