An anticipatory Itô formula
type: Item
instance of: scholarly article
title: An anticipatory Itô formula
zbMATH Open document ID: 0866.60045
author: Hui-Hsiung Kuo
author: K. Nishi
published in: Proceedings of the Japan Academy. Series A
publication date: 1997-07-20T00:00:00Z
review text: The authors extend the classical ``integration by parts'' formula, due to Itô for stochastic integrals with nonanticipative integrands, to certain anticipative integrands. This main announced result is the following Theorem: Let \(f\in L^\infty ([0,1])\) and \(X\) be a process given by the Wiener integral \(X(t)= \int^t_0 f(s)dB(s)\), \(t\in[0,1]\), where \(B\) is the Brownian motion. Let \(\theta:(x,y) \mapsto \mathbb{R}^2\) be a twice continuously differentiable function, \((x,y) \in\mathbb{R}^2\), such that the following processes \(\{\theta (X(\cdot), B(1))\), \({\partial^2 \theta \over \partial x^2} (X(\cdot)\), \(B(1))\), \({\partial^2 \theta\over \partial x\partial y} (X(\cdot), B(1))\}\) are in \(L^2([0,1] \times {\mathcal S}^1 (\mathbb{R}))\) where \({\mathcal S}^1(\mathbb{R})\) is the dual space of the real Schwartz space \({\mathcal S} (\mathbb{R})\). Then the integral \(\int^t_0 \partial^*_s(f(s)) {\partial\theta \over \partial x} (X(s), B(1))ds\) is a Hitsuda-Skorokhod integral, defined independently by both these authors in 1972 and 1975, respectively (and Hitsuda's name is often omitted in most of the recent research and the authors are correcting this oversight). Here \(\partial^*_t\) is the adjoint of the white noise differential operator \(\partial_t\) acting on \({\mathcal S} (\mathbb{R})\). Moreover, one has for \(0\leq t\leq 1\), \[ \begin{multlined} \theta \bigl(X(t),B(1)\bigr) =\theta \bigl(X(0), B(1)\bigr) +\int^t_0 \partial^*_s (f(s)) {\partial\theta \over\partial x} \bigl(X(s), B(1)\bigr)ds+ \\ +\int^t_0 \left[{1 \over 2} f(s)^2{\partial^2\theta\over\partial x^2}\bigl(X(s),B(1)\bigr)+f(s){\partial^2\theta\over\partial x \partial y} \bigl(X(s), B(1)\bigr) \right] ds. \end{multlined} \] The details of proof are given in the first author's book, ``White noise distribution theory'' (1996; Zbl 0853.60001). Some applications to stochastic integral equations are also sketched.
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 938073
zbMATH Keywords: Itô's formula
zbMATH Keywords: stochastic integrals with nonanticipative integrands
zbMATH Keywords: Hitsuda-Skorokhod integral
reviewed by: Malempati M. Rao
MaRDI profile type: MaRDI publication profile
full work available at URL: pjaa.72.36
OpenAlex ID: W2035745080
cites work: Q4202615
cites work: Calculus on Gaussian white noise. III
cites work: Q4881598
cites work: Q4698312
cites work: White noise calculus and Fock space
cites work: On a Generalization of a Stochastic Integral
DOI: 10.3792/PJAA.72.36
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description: scientific article; zbMATH DE number 938073