Green formulas in anticipating stochastic calculus

DOI10.1016/0304-4149(94)00070-AMaRDI QIDQ1890717zbMATH OpenFDO

Authors Rosario Delgado, Marta Sanz-Solé

Publication date 23 May 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(94)00070-A

zbMATH Keywords

anticipating stochastic calculusFubini theorem for Stratonovich integralsGreen formulasMalliavin calculusSkorokhod integralStratonovich integraltrace

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Review text

Let \(T = [0,1]^ 2\) and \(W = \{W_ z, z\in T\}\) be a Brownian sheet. Consider two stochastic processes \(u = \{u_ z, z\in T\}\), \(v = \{v_ z, z\in T\}\) which are not necessarily adapted with respect to \(W\) but satisfy some smoothness assumptions in the sense of the Malliavin calculus. Set \[ u_ z = \int_{R_ z} u_ r \circ dw_ r + \int_{R_ z} v_ r dr, \qquad z \in T,\;R_ z := (0,z), \] where the stochastic integral is defined in the Skorokhod-Stratonovich sense. The paper establishes a Green-Stratonovich formula for anticipating processes with respect to \(U\), i.e., a formula which relates ``line and ``surface stochastic integrals. Also a Skorokhod counterpart of this formula is provided. As a useful tool for deriving Green's formula a Fubini theorem for Stratonovich integrals with respect to \(U\) is proved by studying trace terms relating Skorokhod and Stratonovich integrals. The paper generalizes earlier work of \textit{R. Cairoli} and \textit{J. B. Walsh} [Acta Math. 134, 111-183 (1975; Zbl 0334.60026)] who considered adapted integrands and \(u = 1\), \(v = 0\), and that of \textit{J. L. Solé} and \textit{F. Utzet} [Stochastic Processes Appl. 39, No. 2, 239-262 (1991; Zbl 0744.60059) and in: Séminaire de probabilités, Lect. Notes Math. 1485, 270-283 (1991; Zbl 0744.60060)] for the same situation but for integrands which can be nonadapted.

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Cites work

• Calcul anticipatif d'ordre deux
• Calcul stochastique non adapté pour des processus à deux paramètres: Formules de changement de variables de type Stratonovitch et de type Skorohod. (Anticipative stochastic calculus for processes with two parameters: Change of variables formulae of Str
• Generalized multiple stochastic integrals and the representation of wiener functionals
• scientific article; zbMATH DE number 4184536 (Why is no real title available?)
• Integrator properties of the skorohod integral
• Multiple Wiener integral
• Skorohod and Stratonovich line integrals in the plane
• Stochastic calculus with anticipating integrands
• Stochastic integrals in the plane
• Stratonovich integral and trace
• The hu-meyer formula for non deterministic kernels

Cited in

(2)

• Skorohod and Stratonovich line integrals in the plane
• scientific article; zbMATH DE number 780879 (Why is no real title available?)

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