Generalized Integration and Stochastic ODEs
Flandoli, Franco ; Russo, Francesco
Ann. Probab., Tome 30 (2002) no. 1, p. 270-292 / Harvested from Project Euclid
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Stochastic forward integrals for processes more general than semimartingales are shown to exist, generalized forms of Itô–Wentzell formula and covariation formula are proved, and one-dimensional stochastic equations driven by finite quadratic variation processes and semimartingales are solved. This generalized stochastic calculus is motivated by applications to uniqueness and dependence on parameters for stochastic equations with nonregular drift.
Publié le : 2002-01-14
Classification:  Forward stochastic integration,  generalized Itô-Wentsell formula,  finite quadratic variations process,  60H05,  60H10 
@article{1020107768,
     author = {Flandoli, Franco and Russo, Francesco},
     title = {Generalized Integration and Stochastic ODEs},
     journal = {Ann. Probab.},
     volume = {30},
     number = {1},
     year = {2002},
     pages = { 270-292},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1020107768}
}

Flandoli, Franco; Russo, Francesco. Generalized Integration and Stochastic ODEs. Ann. Probab., Tome 30 (2002) no. 1, pp.  270-292. http://gdmltest.u-ga.fr/item/1020107768/