Forward, backward and symmetric stochastic integration

Francesco Russo; Pierre Vallois

doi:10.1007/BF01195073

Forward, backward and symmetric stochastic integration

Francesco Russo
, Pierre Vallois

Aix Marseille Université
Sorbonne Université

Research output: Contribution to journal › Article › peer-review

222 Citations (Scopus)

Abstract

We define three types of non causal stochastic integrals: forward, backward and symmetric. Our approach consists in approximating the integrator. Two optics are considered: the first one is based on traditional usual stochastic calculus and the second one on Wiener distributions.

Original language	English
Pages (from-to)	403-421
Number of pages	19
Journal	Probability Theory and Related Fields
Volume	97
Issue number	3
DOIs	https://doi.org/10.1007/BF01195073
Publication status	Published - 1 Sept 1993
Externally published	Yes

Keywords

Mathematics Subject Classification: 60H05, 60H07, 60H30, 60J65

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10.1007/BF01195073

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AB - We define three types of non causal stochastic integrals: forward, backward and symmetric. Our approach consists in approximating the integrator. Two optics are considered: the first one is based on traditional usual stochastic calculus and the second one on Wiener distributions.

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DO - 10.1007/BF01195073

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Forward, backward and symmetric stochastic integration

Abstract

Keywords

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