Stochastic integration with respect to the cylindrical Wiener process via regularization
Functional Analysis
2012-03-02 v1 Probability
Abstract
Following the ideas of F. Russo and P. Vallois we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Winer process. This integral is an extension of the classical integral. As an application, we prove existence of solution of a parabolic stochastic differential partial equation with anticipating stochastic initial date.
Keywords
Cite
@article{arxiv.1203.0279,
title = {Stochastic integration with respect to the cylindrical Wiener process via regularization},
author = {Christian Olivera},
journal= {arXiv preprint arXiv:1203.0279},
year = {2012}
}