A two-sided stochastic integral and its calculus (Q1085890)

Let X be a forward diffusion and Y a backward diffusion, both defined on [0,1], \(X_ t\) and \(Y^ t\) being respectively adapted to the past of a Wiener process W(\(\cdot)\), and to its future increments. We construct a ''two-sided'' stochastic integral of the form \[ \int ^{t}_{0}\Phi (u,X_ u,Y^ u)dW(u) \] which generalizes the backward and forward Itô integrals simultaneously. Our construction is quite intuitive, and leads to a generalized stochastic calculus. It is also shown that for each fixed t, our integral coincides with that defined by \textit{A. V. Skorokhod} in Teor. Veroyatn. Primen. 20, 223-238 (1975; Zbl 0333.60060).