Anticipative stochastic differential equations with nonsmooth diffusion coefficient

DOI10.1007/S10114-005-0816-XMaRDI QIDQ2505396zbMATH OpenOpenAlexFDO

Authors Zongxia Liang

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

zbMATH Keywords

Malliavin derivativeSkorokhod integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

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Cites work

• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Linear Skorohod stochastic differential equations
• Linear stochastic differential equations and Wick products
• Linear stochastic differential equations with boundary conditions
• On nonlinear transformations of Gaussian measures
• One-dimensional stochastic differential equations involving a singular increasing process
• Rademacher's theorem for Wiener functionals
• Skorohod stochastic differential equations of diffusion type
• Stochastic calculus with anticipating integrands

Cited in

(9)

• ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES
• scientific article; zbMATH DE number 4096509 (Why is no real title available?)
• scientific article; zbMATH DE number 2169689 (Why is no real title available?)
• scientific article; zbMATH DE number 432954 (Why is no real title available?)
• scientific article; zbMATH DE number 431870 (Why is no real title available?)
• scientific article; zbMATH DE number 4131371 (Why is no real title available?)
• Smoothness of distributions for solutions of anticipating stochastic differential equations
• Anticipating linear stochastic differential equations driven by a Lévy process
• Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.

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