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Anticipating stratonovich integral with respect to the Azema's martingales
Authors:
C. A. Tudor a;
J. Vives b
| Affiliations: | a Departement de Mathematiques, Universite de La Rochelle, La Rochelle Cedex 1, France |
b Departament de Matem tiques, Universitat Aut noma de Barcelona, Barcelona, Spain |
DOI:
10.1081/SAP-120004120
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
20,
Issue
3
October
2002
, pages 673
- 692
Stochastic Analysis and Applications,
Volume
20,
Issue
3
October
2002
, pages 673
- 692
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Abstract
In this paper we establish the conditions on a L2-process u for the existence of its anticipating Stratonovich integral with respect to a normal martingale belonging to a certain class. This class includes the Azema's martingales and the compensated Poisson processes.
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