Anticipative stochastic differential equations with nonsmooth diffusion coefficient (Q2505396)
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English | Anticipative stochastic differential equations with nonsmooth diffusion coefficient |
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Anticipative stochastic differential equations with nonsmooth diffusion coefficient (English)
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4 October 2006
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The author derives a result about existence and uniqueness of the solution of a certain linear stochastic differential equation \[ X_t(\omega) = \eta(\omega) + \int_0^t a_s X_s(\omega) dW_s + \int_0^tb_s X_s(\omega)ds \] with anticipative drift term \(b\) and initial condition \(\eta\), while the diffusion term \(a\) is assumed to be adapted, but otherwise rather general. The integral is interpreted as a Skorohod integral. In difference to other existing uniqueness and existence results on anticipative linear stochastic differential equations, the author does not impose any smoothness conditions in the Malliavin sense on the diffusion coefficient \(a\). This can be very useful in applications as it is often quite difficult to verify the smoothness conditions for the diffusion term.
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Skorokhod integral
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Malliavin derivative
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