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)

Review text

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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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

(11)

• Quasi sure analysis and Stratonovich anticipative stochastic differential equations
• Anticipative discretization schemes and parameter estimation of the derivative of a diffusion process.
• scientific article; zbMATH DE number 4131371 (Why is no real title available?)
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• scientific article; zbMATH DE number 432954 (Why is no real title available?)
• scientific article; zbMATH DE number 4096509 (Why is no real title available?)
• scientific article; zbMATH DE number 1366699 (Why is no real title available?)
• Anticipating linear stochastic differential equations driven by a Lévy process
• scientific article; zbMATH DE number 2169689 (Why is no real title available?)
• ANTICIPATIVE STOCHASTIC INTEGRALS EQUATIONS DRIVEN BY SEMIMARTINGALES
• Smoothness of distributions for solutions of anticipating stochastic differential equations

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