Title
Anticipating exponential processes and stochastic differential equations
Document Type
Article
Publication Date
1-1-2019
Abstract
Exponential processes in the Ito theory of stochastic integration can be viewed in three aspects: multiplicative renormalization, martingales, and stochastic differential equations. In this paper we initiate the study of anticipating exponential processes from these aspects viewpoints. The analogue of martingale property for anticipating stochastic integrals is the near-martingale property. We use examples to illustrate essential ideas and techniques in dealing with anticipating exponential processes and stochastic differential equations. The situation is very different from the Ito theory.
Publication Source (Journal or Book title)
Communications on Stochastic Analysis
First Page
413
Last Page
424
Recommended Citation
Hwang, C., Kuo, H., & Saitô, K. (2019). Anticipating exponential processes and stochastic differential equations. Communications on Stochastic Analysis, 13 (3-4), 413-424. Retrieved from https://repository.lsu.edu/mathematics_pubs/510