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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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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DOI: https://doi.org/10.1007/BF01193581
Keywords
- Stochastic Process
- Brownian Motion
- Probability Theory
- Mathematical Biology