The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus (Q1097576)
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English | The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus |
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The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus (English)
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1988
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This work is devoted to derive Itô-type formulae for anticipative stochastic processes with nonmonotonous time using the Malliavin calculus techniques and the fundamental theorem of the differential calculus. The same method is applied also to give an Itô-Ventcell type formula in the anticipative case.
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Itô formula
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anticipative processes
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nonmonotonous time scale
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Malliavin calculus
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Ito-Vent'tsel-type formula
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