Smoothing Problem in Anticipating Scenario

DOI10.1007/S11253-006-0005-9MaRDI QIDQ5477120zbMATH OpenOpenAlexFDO

Authors A. A. Dorogovtsev

Publication date 20 July 2006

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0611749, http://dspace.nbuv.gov.ua/handle/123456789/165830

zbMATH Keywords

Wiener processstochastic differential equationsemimartingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type and its application to the smoothing problem in the case when noise is represented by the two jointly Gaussian Wiener processes, which can have not a semimartingale property with respect to the joint filtration.

Cited in

(4)

• Local times of self-intersection
• Clark representation for local times of self-intersection of Gaussian integrators
• Refinements of asymptotics at zero of Brownian self-intersection local times
• Properties of Gaussian local times

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