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1989

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/151843

The Doob-Meyer decomposition for anticipating processes

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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...

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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]

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Anàlisi estocàstica

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Universitat de Barcelona. Institut de Matemàtica

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Preprints de Matemàtiques - Mathematics Preprint Series

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NGUYEN MINH, Duc, NUALART, David and SANZ-SOLÉ, Marta. The Doob-Meyer decomposition for anticipating processes. [consulted: 19 of August of 2026]. Available at: https://hdl.handle.net/2445/151843

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