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The new stochastic integral and stochastic differential equations with anticipating initial conditions

Benedykt Szozda
(Louisiana State University)
ASE-event
Mandag, 7 maj, 2012, at 12:15-13:00, B3.22
Beskrivelse:
In this talk we will give a short review of the new stochastic integral introduced by Ayed and Kuo in 2008. Then, we will present some of the properties of the new integral that were established since its introduction. Among the properties discussed will be an isometry formula, several Itô formulas, and SDEs with anticipating initial conditions. This talk is based on joint work with Hui-Hsiung Kuo and Anuwat Sae-Tang.
Kontaktperson: Ole E. Barndorff-Nielsen