Continuity of some anticipating integral processes

Yaozhong Hu and David Nualart

Statistics & Probability Letters, 1998, vol. 37, issue 2, 203-211

Abstract: In this paper we provide some sufficient conditions for the Skorohod integral process to have a continuous version. A first set of conditions require the existence of two square integrable derivatives and that the process has moments of order [beta] > 2. Secondly, we prove that the existence of the second derivative can be replaced by an integrability condition of the first derivative on the diagonal.

Keywords: Skorohod; integral; Anticipating; stochastic; calculus; Ito's; formula (search for similar items in EconPapers)
Date: 1998
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