Martingale-type stochastic calculus for anticipating integral processes

Ciprian A. Tudor

doi:10.3150/bj/1082380221

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Home > Journals > Bernoulli > Volume 10 > Issue 2 > Article

April 2004 Martingale-type stochastic calculus for anticipating integral processes

Ciprian A. Tudor

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Ciprian A. Tudor¹
¹Laboratoire de Probabilités et Modèles Aléatoires, Universitéde Paris 6

Bernoulli 10(2): 313-325 (April 2004). DOI: 10.3150/bj/1082380221

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Abstract

We prove that the class of Skorohod integral processes coincides with a class of Itôintegrals. Using the techniques of the classical Itôstochastic calculus, we develop a new stochastic calculus for Skorohod integral processes, different from that introduced by Nualart and Pardoux.

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Ciprian A. Tudor. "Martingale-type stochastic calculus for anticipating integral processes." Bernoulli 10 (2) 313 - 325, April 2004. https://doi.org/10.3150/bj/1082380221