Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/152079
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Alòs, Elisa | - |
dc.contributor.author | Nualart, David, 1951- | - |
dc.date.accessioned | 2020-03-05T14:29:17Z | - |
dc.date.available | 2020-03-05T14:29:17Z | - |
dc.date.issued | 1996 | - |
dc.identifier.uri | http://hdl.handle.net/2445/152079 | - |
dc.description | Preprint enviat per a la seva publicació en una revista científica: Journal of Theoretical Probability, (1998), volume 11, pages 493–514. [http://doi.org/10.1023/A:1022692024364] | ca |
dc.description.abstract | In this paper we introduce a class of square integrable processes, denoted by LF, defined in the canonical probability space of the Brownian motion, which contains both the adapted processes and the processes in the Sobolev space L2,2. The processes in the class LF satisfy that for any time t, they are twice weakly differentiable in the sense of the stochastic calculus of variations in points (r, s) such that r ∨ s ≥ t. On the other hand, processes belonging to the class LF are Skorohod integrable, and the indefinite Skorohod integral has properties similar to those of the Ito integral. In particular we prove a change-of-variable formula that extends the classical Itô formula. Those results are generalization of similar properties proved by Nualart and Pardoux(7) for processes in L2,2. | ca |
dc.format.extent | 23 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.publisher | Universitat de Barcelona | ca |
dc.relation.isformatof | Reproducció digital del document original en paper [CRAI Biblioteca de Matemàtiques i Informàtica - Dipòsit Departament CAIXA 37.10] | - |
dc.relation.ispartofseries | Mathematics Preprint Series; 215 | ca |
dc.rights | (c) Elisa Alòs et al., 1996 | - |
dc.source | Preprints de Matemàtiques - Mathematics Preprint Series | - |
dc.subject.classification | Integrals estocàstiques | - |
dc.subject.classification | Càlcul de Malliavin | - |
dc.subject.other | Universitat de Barcelona. Institut de Matemàtica | - |
dc.title | An extension of Itô's formula for anticipating processes | ca |
dc.type | info:eu-repo/semantics/article | ca |
dc.type | info:eu-repo/semantics/submittedVersion | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | Preprints de Matemàtiques - Mathematics Preprint Series |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
MPS_N215.pdf | 1.08 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.