Smoothing problem in anticipating scenario
Probability
2007-05-23 v1
Abstract
This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type and its application to the smoothing problem in the case when noise is represented by the two jointly Gaussian Wiener processes, which can have not a semimartingale property with respect to the joint filtration.
Keywords
Cite
@article{arxiv.math/0611749,
title = {Smoothing problem in anticipating scenario},
author = {Andrey A Dorogovtsev},
journal= {arXiv preprint arXiv:math/0611749},
year = {2007}
}
Comments
22 pages