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Article
Transformations of index set for Skorokhod integral with respect to Gaussian processes
Journal of Applied Mathematics and Stochastic Analysis
  • Leszek Gawarecki, Kettering University
Document Type
Article
Publication Date
6-2-1997
Abstract

We consider a Gaussian process {Xt,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.

Disciplines
DOI
10.1155/S1048953399000118
Rights

© 1999 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citation Information
Leszek Gawarecki. "Transformations of index set for Skorokhod integral with respect to Gaussian processes" Journal of Applied Mathematics and Stochastic Analysis Vol. 12 Iss. 2 (1997) p. 105 - 111 ISSN: Print ISSN: 2090-3332 Online ISSN: 2090-3340
Available at: http://works.bepress.com/leszek-gawarecki/4/