Skorohod stochastic differential equations of diffusion type

DOI10.1007/BF01193054zbMath0767.60048MaRDI QIDQ1203917

Rainer Buckdahn

Publication date: 10 March 1993

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Brownian motion; stochastic differential equations; anticipation; existence of a global solution; Skorokhod-integral

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

Related Items

Skorohod stochastic differential equations with boundary conditions, Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter, Optimal pointwise approximation of anticipating SDEs, Approximate solutions to anticipative stochastic differential equations, Anticipative stochastic differential equations with nonsmooth diffusion coefficient, Maximum likelihood estimation in Skorohod stochastic differential equations

Cites Work

• Stochastic calculus with anticipating integrands
• Linear stochastic differential equations with boundary conditions
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Linear Skorohod stochastic differential equations
• On the gap between deterministic and stochastic ordinary differential equations
• On the structure of independence on Wiener space
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