A two-sided stochastic integral and its calculus

DOI10.1007/BF00390274zbMath0608.60058OpenAlexW2068443142MaRDI QIDQ1085890

Philip E. Protter, Etienne Pardoux

Publication date: 1987

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00390274

zbMATH Keywords

generalized stochastic integralsanticipating integrandsforward and backward diffusions

Mathematics Subject Classification ID

Stochastic integrals (60H05) Boundary theory for Markov processes (60J50)

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Cites Work

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• Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
• Generalized stochastic integrals and the Malliavin calculus
• White noise approach to stochastic integration
• On stochastic integration by series of Wiener integrals
• Mécanique aléatoire
• An extension of the stochastic integral
• Équations du filtrage non linéaire de la prédiction et du lissage
• On a Generalization of a Stochastic Integral
• Quelques propriétés de l’intégrale stochastique du type noncausal

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