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Itô's lemma without non-anticipatory conditions
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  • Published: March 1991

Itô's lemma without non-anticipatory conditions

  • Joachim Asch1 &
  • Jürgen Potthoff2 

Probability Theory and Related Fields volume 88, pages 17–46 (1991)Cite this article

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Summary

A stochastic integral (with respect to Brownian motion) which extends Itô's integral to anticipatory integrands is constructed and investigated. This stochastic integral is different from the Skorokhod integral. The Itô lemma is proved for this integral.

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Authors and Affiliations

  1. FB Mathematik MA 7-1, Technische Universität Berlin, W-1000, Berlin, Federal Republic of Germany

    Joachim Asch

  2. Department of Mathematics, Louisiana State University, 70803-4918, Baton Rouge, LA, USA

    Jürgen Potthoff

Authors
  1. Joachim Asch
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  2. Jürgen Potthoff
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Asch, J., Potthoff, J. Itô's lemma without non-anticipatory conditions. Probab. Th. Rel. Fields 88, 17–46 (1991). https://doi.org/10.1007/BF01193581

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  • Received: 03 May 1988

  • Revised: 29 July 1990

  • Issue Date: March 1991

  • DOI: https://doi.org/10.1007/BF01193581

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Keywords

  • Stochastic Process
  • Brownian Motion
  • Probability Theory
  • Mathematical Biology
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