On the convergence of anticipative integrals (Q4028996)

The present paper is devoted to the problem of convergence in probability of the anticipative Skorokhod and Stratonovich integrals. Starting from a little bit more general point of view, the authors introduce the anticpative stochastic integral as a limit of certain Riemann sums and use this approach in order to show that if \((u^ n)\) is any bounded sequence of processes in \(L^ 2([0,1]\times\Omega)\), \(\Omega=C_ 0([0,1])\), converging to some process \(u\), in probability for each fixed time point \(0\leq t\leq 1\), and such that, for all \(u^ n\) and for \(u\), there exists the stochastic integral, and all the Riemann sums associated to \(u^ n\), \(n\geq 1\), \(u\) form a tight family on \(R^ 1\), then the sequence of the anticipative stochastic integrals \(I(u^ n)\) converges to \(I(u)\). In dependence of the type of the Riemann sum the integral is the Skorokhod and the Stratonovich one, respectively. The above result is specified for these integrals. For the entire collection see [Zbl 0754.00008].