A Malliavin-Type Anticipative Stochastic Calculus
Marc A. Berger
Source: Ann. Probab. Volume 16, Number 1
(1988), 231-245.
Abstract
Two extensions of the Ito integral are developed, and put in the perspective of derivative operators in the Malliavin calculus. The divergence operator, $\delta$, is constructed, and its properties and action on these two extended integrals are described. Discussion of iterated stochastic integrals and the extended stochastic integrals as functions of their upper limits is also included.
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60H05
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Permanent link to this document: http://projecteuclid.org/euclid.aop/1176991897
JSTOR: links.jstor.org
Digital Object Identifier: doi:10.1214/aop/1176991897
Mathematical Reviews number (MathSciNet): MR920267
Zentralblatt MATH identifier: 0639.60058
