Stochastic Calculus with Anticipating Integrands
نویسنده
چکیده
We study the stochastic integral defined by Skorohod in [24] of a possibly anticipating integrand, as a function of its upper limit, and establish an extended It6 formula. We also introduce an extension of Stratonovich's integral, and establish the associated chain rule. In all the results, the adaptedness of the integrand is replaced by a certain smoothness requirement.
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تاریخ انتشار 1988