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The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin Calculus
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  • Published: September 1988

The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin Calculus

  • A. S. Ustunel1 

Probability Theory and Related Fields volume 79, pages 249–269 (1988)Cite this article

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Summary

This work is devoted to derive Itô-type formulae for anticipative stochastic processes with nonmonotonous time using the Malliavin Calculus techniques and the fundamental theorem of the differential calculus. The same method is applied also to give an Itô-Ventcell type formula in the anticipative case.

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Authors and Affiliations

  1. 2, Bd. Auguste Blanqui, F-75013, Paris, France

    A. S. Ustunel

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  1. A. S. Ustunel
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Ustunel, A.S. The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin Calculus. Probab. Th. Rel. Fields 79, 249–269 (1988). https://doi.org/10.1007/BF00320921

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  • Received: 01 November 1987

  • Revised: 06 January 1988

  • Issue Date: September 1988

  • DOI: https://doi.org/10.1007/BF00320921

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Keywords

  • Stochastic Process
  • Probability Theory
  • Mathematical Biology
  • Fundamental Theorem
  • Differential Calculus
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