Equation différentielle anticipative sur une variété et approximations

Axel Grorud and Monique Pontier

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 51-61

Abstract: This paper is the sequel of a paper by the authors (1993) and it has a complete version in (1995). We develop a stochastic calculus which allows to integrate non-adapted processes taking their values in the space of second-order 1-forms that are above a manifold valued anticipating process. Using that integration, we study the existence and uniqueness of solution of an anticipating stochastic differential equation in a manifold. This stochastic calculus uses both second-order geometry defined by P.-A. Meyer (1981) and Nualart-Pardoux's duality definition of Skorohod integral (1988).

Keywords: Malliavin derivative; Second-order geometry; Skorohod integral; Stochastic calculus; Anticipating stochastic differential equation (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:51-61

DOI: 10.1016/0378-4754(93)E0066-E

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