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Title: | The Doob-Meyer decomposition for anticipating processes |
Author: | Nguyen Minh, Duc Nualart, David, 1951- Sanz-Solé, Marta |
Keywords: | Anàlisi estocàstica Universitat de Barcelona. Institut de Matemàtica |
Issue Date: | 1989 |
Publisher: | Universitat de Barcelona |
Series/Report no: | Mathematics Preprint Series; 75 |
Abstract: | In [13], Skorohod introduced a stochastic integral of non-adapted random processes with respect to a Gaussian measure with orthogonal increments. The Skorohod integral is an extension of the classical Ito integral and coincides with the adjoint of the derivative operator on the Wiener space (see [5]). The relation between the Skorohod integral and the Malliavin calculus has been analyzed by Nualart and Zakai in [8]. More recently, a generalized or anticipating stochastic calculus based on the Skorohod integral has been developed by Nualart and Pardoux [9] (see also [12, 14, 15]). We also refer to [10] for an exposition of the basic ideas of this theory... |
Note: | Preprint enviat per a la seva publicació en una revista científica: Stochastics and Stochastic Reports, Volume 34, 1991 - Issue 3-4. [https://doi.org/10.1080/17442509108833683] |
Note: | Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 32.15] |
URI: | http://hdl.handle.net/2445/151843 |
Appears in Collections: | Preprints de Matemàtiques - Mathematics Preprint Series |
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File | Description | Size | Format | |
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MPS_N074.pdf | 700.97 kB | Adobe PDF | View/Open |
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