Transformations of index set for Skorokhod integral with respect to Gaussian processes

Leszek Gawarecki

doi:10.1155/S1048953399000118

Transformations of index set for Skorokhod integral with respect to Gaussian processes

Leszek Gawarecki

Kettering University

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a Gaussian process {Xt,t∈T} with an arbitrary index set T and study consequences of transformations of the index set on the Skorokhod integral and Skorokhod derivative with respect to X. The results applied to Skorokhod SDEs of diffusion type provide uniqueness of the solution for the time-reversed equation and, to Ogawa line integral, give an analogue of the fundamental theorem of calculus.

Original language	American English
Journal	Journal of Applied Mathematics and Stochastic Analysis
Volume	12
DOIs	https://doi.org/10.1155/S1048953399000118
State	Published - Jun 2 1997

Keywords

skorokhod integral
anticipative stochastic calculus

Disciplines

Mathematics

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10.1155/S1048953399000118License: CC BY

Transformations of index set for Skorokhod integral with respectFinal published version, 687 KBLicense: CC BY

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AB - We consider a Gaussian process {Xt,t∈T} with an arbitrary index set T and study consequences of transformations of the index set on the Skorokhod integral and Skorokhod derivative with respect to X. The results applied to Skorokhod SDEs of diffusion type provide uniqueness of the solution for the time-reversed equation and, to Ogawa line integral, give an analogue of the fundamental theorem of calculus.

KW - skorokhod integral

KW - anticipative stochastic calculus

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JO - Journal of Applied Mathematics and Stochastic Analysis

JF - Journal of Applied Mathematics and Stochastic Analysis

ER -

Transformations of index set for Skorokhod integral with respect to Gaussian processes

Abstract

Keywords

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