DC MetaData pour: Martingale type stochastic calculus for anticipating integral processes


Université Paris 6 Pierre et Marie Curie		Université Paris 7 Denis Diderot

	CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Martingale type stochastic calculus for anticipating integral processes

Auteur(s):

C.A. TUDOR

Code(s) de Classification MSC:

60H05 Stochastic integrals
60H07 Stochastic calculus of variations and the Malliavin calculus

Résumé: We prove that the class of Skorohod integral processes coincides with a class of Itô integrals. Using the techniques of the classical Itô stochastic calculus, we develop a new stochastic calculus for Skorohod integral processes, different from the one introduced by Nualart and Pardoux (1988).

Mots Clés: Malliavin calculus ; Stochastic integrals

Date: 2003-09-16

Prépublication numéro: PMA-844