Green formulas in anticipating stochastic calculus

Rosario Delgado, Marta Sanz-Solé

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

In this paper we state Green type formulas for nonadapted processes with respect to "anticipating semimartingales", say U, in the Stratonovich and the Skorohod formulation. To this end we develop some notions of anticipating stochastic calculus with respect to U, based on multiple and line integrals. The basic ingredients are a Hu-Meyer formula for multiple integrals with respect to U and a Fubini theorem for the multiple Stratonovich integral. © 1995.
Original languageEnglish
Pages (from-to)113-148
JournalStochastic Processes and their Applications
Volume57
Issue number1
DOIs
Publication statusPublished - 1 Jan 1995

Keywords

  • Anticipating stochastic calculus
  • Green formulas
  • Skorohod integral
  • Stratonovich integral
  • Trace

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