Transformations of index set for Skorokhod integral with respect to Gaussian processes

Leszek Gawarecki

International Journal of Stochastic Analysis, 1999, vol. 12, 1-7

Abstract:

We consider a Gaussian process { X t , t ∈ T } with an arbitrary index set T and study consequences of transformations of the index set on the Skorokhod integral and Skorokhod derivative with respect to X . The results applied to Skorokhod SDEs of diffusion type provide uniqueness of the solution for the time-reversed equation and, to Ogawa line integral, give an analogue of the fundamental theorem of calculus.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:783905

DOI: 10.1155/S1048953399000118

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