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

DOI10.1007/BF01199789MaRDI QIDQ2277664zbMATH OpenOpenAlexFDO

Authors Michèle Thieullen

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01199789

zbMATH Keywords

anticipative processesSkorokhod-type change of variable formulaStratonovich-type change of variable formulaWiener process

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Review text

We prove a Stratonovich-type change of variable formula for anticipative processes on \([0,1]^ 2\). The formula is the same as the existing one from deterministic calculus. In order to do so we define simple and double Stratonovich integrals. We deduce a Skorokhod-type change of variable formula which does not contain any line integral. Our method consists in using regularization of the Wiener process obtained by convolution.

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Cites work

• Differentiation formulas for stochastic integrals in the plane
• Generalized multiple stochastic integrals and the representation of wiener functionals
• Generalized stochastic integrals and the Malliavin calculus
• Stochastic calculus with anticipating integrands
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Stochastic integrals in the plane
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Variations-produit et formule de ito pour les semi-martingales repr�sentables a deux param�tres

Cited in

(8)

• Forward, backward and symmetric stochastic integration
• Green formulas in anticipating stochastic calculus
• Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory
• Skorohod and Stratonovich integration in the plane
• scientific article; zbMATH DE number 3986317 (Why is no real title available?)
• scientific article; zbMATH DE number 4088634 (Why is no real title available?)
• Calcul anticipatif d'ordre deux
• scientific article; zbMATH DE number 4184539 (Why is no real title available?)

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