A generalization of the Itô formula
The classical Itô formula is generalized to some anticipating processes. The processes we consider are in a Sobolev space which is a subset of the space of square integrable functions over a white noise space. The proof of the result uses white noise techniques.
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2002-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/S0161171202102018 |