Transformations of index set for Skorokhod integral with respect to Gaussian processes. (1999)

• Record Type: Journal Article
• Authors: Gawarecki, Leszek
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 12:Number 2(1999)
• Page Start: 105
• Page End: 111
• Publication Date: 1999
• Subjects: Skorokhod integral -- anticipative stochastic calculus; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953399000118
• Languages: English
• ISSNs: 1048-9533

Abstract

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.