Anticipative stochastic differential equations with nonsmooth diffusion coefficient
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Publication:2505396
DOI10.1007/s10114-005-0816-xzbMath1102.60057MaRDI QIDQ2505396
Publication date: 4 October 2006
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-005-0816-x
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H07: Stochastic calculus of variations and the Malliavin calculus
60H20: Stochastic integral equations
Cites Work
- Stochastic calculus with anticipating integrands
- Linear stochastic differential equations with boundary conditions
- A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
- Linear Skorohod stochastic differential equations
- Skorohod stochastic differential equations of diffusion type
- Linear stochastic differential equations and Wick products
- On nonlinear transformations of Gaussian measures
- Rademacher's theorem for Wiener functionals
- One-dimensional stochastic differential equations involving a singular increasing process