The stochastic integral of noncausal type as an extension of the symmetric integrals

DOI10.1007/BF03167046zbMath0616.60056OpenAlexW2057489407MaRDI QIDQ4725435

Shigeyoshi Ogawa

Publication date: 1985

Published in: Japan Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03167046

zbMATH Keywords

quasi-martingalesymmetric integralintegral of Stratonovich-Fiskorthogonal expansion of Brownian paths

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (18)

A third representation of Feynman-Kac-Itô formula with singular magnetic vector potential ⋮ A BPE model for the Burgers equation ⋮ Mean value theorems for the noncausal stochastic integral ⋮ On the class of universally integrable random functions ⋮ On the Ogawa integrability of noncausal Wiener functionals ⋮ A Fourier analysis based new look at integration ⋮ Noncausal calculus approach to Wong-Zakai's theorem on the approximation of SDE by physically realizable model ⋮ Simulation example of a black noise ⋮ On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation ⋮ BPE and a noncausal Girsanov's theorem ⋮ On a stochastic Fourier coefficient: case of noncausal functions ⋮ On a stochastic Fourier transformation ⋮ A Lagrangian scheme for numerical evaluation of the noncausal stochastic integral ⋮ Maximum a posteriori estimation of elliptic Gaussian fields observed via a noisy nonlinear channel ⋮ On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients ⋮ Onsager-Machlup functionals and maximum a posteriori estimation for a class of non-Gaussian random fields ⋮ A direct inversion formula for SFT ⋮ Monte Carlo simulation of nonlinear diffusion processes. II

Cites Work

• Une remarque sur l'approximation de l'integrale stochastique du type noncausal par une suite des integrales de Stieltjes
• On a Riemann definition of the stochastic integral, I
• Quelques propriétés de l’intégrale stochastique du type noncausal

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