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Anticipative Girsanov Transformations and Skorohod Stochastic Differential Equations : Memoirs of the American Mathematical Society - Rainer Buckdahn

Anticipative Girsanov Transformations and Skorohod Stochastic Differential Equations

Memoirs of the American Mathematical Society

Paperback Published: January 1994
ISBN: 9780821825969
Number Of Pages: 88

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This book presents a survey of some recent developments in an important subfield of the new subject of anticipative stochastic analysis. D. Nualart and E. Pardoux have developed into a practicable calculus the theory of stochastic integration of processes not necessarily adapted to the driving Wiener process. This leads to anticipative stochastic differential equations with Skorohod integral and to anticipative Girsanov transformations, both of which are studied in the present work. The anticipative Girsanov transformations constitute the main tool for tackling stochastic differential equations with Skorohod integral. However, Buckdahn does not restrict attention only to this aspect but also considers different types of anticipative transformations and derives sufficient conditions for their absolute continuity with respect to the Wiener measure. The stochastic differential equations with Skorohod integral are studied under random initial conditions as well as under random boundary conditions.

Anticipative stochastic calculus
Anticipative Girsanov transformation
Anticipative stochastic differential equations
References
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780821825969
ISBN-10: 0821825968
Series: Memoirs of the American Mathematical Society
Audience: Professional
Format: Paperback
Language: English
Number Of Pages: 88
Published: January 1994
Publisher: American Mathematical Society
Country of Publication: US
Dimensions (cm): 24.77 x 17.15  x 1.27
Weight (kg): 0.18

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