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Green formulas in anticipating stochastic calculus

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  • Delgado, Rosario
  • Sanz-Solé, Marta

Abstract

In this paper we state Green type formulas for nonadapted processes with respect to "anticipating semimartingales", say U, in the Stratonovich and the Skorohod formulation. To this end we develop some notions of anticipating stochastic calculus with respect to U, based on multiple and line integrals. The basic ingredients are a Hu-Meyer formula for multiple integrals with respect to U and a Fubini theorem for the multiple Stratonovich integral.

Suggested Citation

  • Delgado, Rosario & Sanz-Solé, Marta, 1995. "Green formulas in anticipating stochastic calculus," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 113-148, May.
  • Handle: RePEc:eee:spapps:v:57:y:1995:i:1:p:113-148
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    References listed on IDEAS

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    1. Solé, J. Ll. & Utzet, F., 1991. "Skorohod and Stratonovich line integrals in the plane," Stochastic Processes and their Applications, Elsevier, vol. 39(2), pages 239-262, December.
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