Multiple Ogawa, Stratonovich and Skorohod anticipating integrals

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Abstract

The suitable notion of trace is introduced in order to relate the multiple integrals in the Ogawa and in the Skorohod sense, and prove the corresponding Hu-Meyer-type formula. It is also established that if the multiple Ogawa integral exists, then the multiple Stratonovich integral also exists and they coincide, the generalization of the known result for the simple case.
Original languageEnglish
Pages (from-to)859-872
JournalStochastic Analysis and Applications
Volume16
DOIs
Publication statusPublished - 1 Jan 1998

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