Stochastic Volterra Equations with Anticipating Coefficients
Pardoux, Etienne ; Protter, Philip
Ann. Probab., Tome 18 (1990) no. 4, p. 1635-1655 / Harvested from Project Euclid
Stochastic Volterra equations are studied where the coefficients $F(t, s, x)$ are random and adapted to $\mathscr{F}_{s\vee t}$ rather than the customary $\mathscr{F}_{s\wedge t}$. Such a hypothesis, which is natural in several applications, leads to stochastic integrals with anticipating integrands. We interpret these as Skorohod integrals, which generalize Ito's integrals to the case where the integrand anticipates the future of the Wiener integrator. We shall nevertheless construct an adapted solution, which is even a semimartingale if the coefficients are smooth enough.
Publié le : 1990-10-14
Classification:  Stochastic Volterra equations,  anticipating stochastic calculus,  Skorohod integral,  60H20,  60H05
@article{1176990638,
     author = {Pardoux, Etienne and Protter, Philip},
     title = {Stochastic Volterra Equations with Anticipating Coefficients},
     journal = {Ann. Probab.},
     volume = {18},
     number = {4},
     year = {1990},
     pages = { 1635-1655},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990638}
}
Pardoux, Etienne; Protter, Philip. Stochastic Volterra Equations with Anticipating Coefficients. Ann. Probab., Tome 18 (1990) no. 4, pp.  1635-1655. http://gdmltest.u-ga.fr/item/1176990638/