Anticipative Girsanov Transformations and Skorohod Stochastic Differential Equations

Download or read book Anticipative Girsanov Transformations and Skorohod Stochastic Differential Equations written by Rainer Buckdahn and published by American Mathematical Soc.. This book was released on 1994 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a concise exposition of recent developments in anticipative stochastic calculus. The anticipative calculus uses tools from differential calculus and distribution theory on Wiener space to analyze stochastic integrals with integrands which can anticipate the future of the Brownian integrator. In particular, the Skorohod integral, defined as a dual operator to the Wiener space derivative, and the anticipating Stratonovich integrals are fundamental.