A generalization of the Itô formula

Said Ngobi

International Journal of Mathematics and Mathematical Sciences, 2002, vol. 31, 1-20

Abstract:

The classical Itô formula is generalized to some anticipating processes. The processes we consider are in a Sobolev space which is a subset of the space of square integrable functions over a white noise space. The proof of the result uses white noise techniques.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:413761

DOI: 10.1155/S0161171202102018

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