IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v38y1995i1p51-61.html
   My bibliography  Save this article

Equation différentielle anticipative sur une variété et approximations

Author

Listed:
  • Grorud, Axel
  • Pontier, Monique

Abstract

This paper is the sequel of a paper by the authors (1993) and it has a complete version in (1995). We develop a stochastic calculus which allows to integrate non-adapted processes taking their values in the space of second-order 1-forms that are above a manifold valued anticipating process. Using that integration, we study the existence and uniqueness of solution of an anticipating stochastic differential equation in a manifold. This stochastic calculus uses both second-order geometry defined by P.-A. Meyer (1981) and Nualart-Pardoux's duality definition of Skorohod integral (1988).

Suggested Citation

  • Grorud, Axel & Pontier, Monique, 1995. "Equation différentielle anticipative sur une variété et approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 51-61.
    • Handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:51-61
    DOI: 10.1016/0378-4754(93)E0066-E
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378475493E0066E
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/0378-4754(93)E0066-E?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:38:y:1995:i:1:p:51-61. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.