Anticipating differential equation on a manifold and approximations

DOI10.1016/0378-4754(93)E0066-EMaRDI QIDQ1897657zbMATH OpenFDO

Authors Monique Pontier, A. Grorud

Publication date 6 November 1995

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

Malliavin derivativeSkorokhod integralstochastic calculussecond-order geometryanticipating stochastic differential equationmanifold valued anticipating process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3720096 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
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• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• Calcul anticipatif d'ordre deux
• Compact manifolds with a little negative curvature
• Integrator properties of the skorohod integral
• Linear Skorohod stochastic differential equations
• Linear stochastic differential equations with boundary conditions
• Stochastic calculus in manifolds. With an appendix by P.A. Meyer
• Stochastic calculus with anticipating integrands

Cited in

(3)

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• Stochastic anticipative integrals on a Riemannian manifold

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