Anticipating integral equations

DOI10.1023/A:1008721318212MaRDI QIDQ1841270zbMATH OpenOpenAlexFDO

Authors David Nualart, Jorge A. Leon

Publication date 12 March 2002

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1008721318212

zbMATH Keywords

\(L^p\) estimatesanticipative integral equationsforward integralSkorokhod integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Review text

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).

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