Abstract
Four examples are presented which show that stochastic integral processes with anticipating integrands can have very different sample path behaviour from those with adapted ones. For example, Skorohod integral processes need not be semimartingales, but can still have smooth occupation densities. Moreover, even if they are continuous, and have finite quadratic variation, this may still be essentially bigger than expected for “smooth” integrands.
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© 1992 Springer-Verlag
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Barlow, M.T., Imkeller, P. (1992). On some sample path properties of Skorohod integral processes. In: Azéma, J., Yor, M., Meyer, P.A. (eds) Séminaire de Probabilités XXVI. Lecture Notes in Mathematics, vol 1526. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0084311
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DOI: https://doi.org/10.1007/BFb0084311
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