Affiliation:
1. Departamento de Matemática – Universidade, Estadual de Campinas – Campinas – SP, Brasil
Abstract
Following the ideas of F. Russo and P. Vallois, we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Wiener process. This integral is an extension of the classical integral. As an application, we prove existence of solution of a parabolic stochastic differential partial equation with anticipating stochastic initial date.
Publisher
World Scientific Pub Co Pte Lt
Subject
Applied Mathematics,Mathematical Physics,Statistics and Probability,Statistical and Nonlinear Physics
Cited by
1 articles.
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