Anticipating stochastic differential systems with memory
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- Arnold, Ludwig & Imkeller, Peter, 1996. "Stratonovich calculus with spatial parameters and anticipative problems in multiplicative ergodic theory," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 19-54, March.
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- Ofelia Bonesini & Antoine Jacquier & Chloe Lacombe, 2020. "A theoretical analysis of Guyon's toy volatility model," Papers 2001.05248, arXiv.org, revised Nov 2022.
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Keywords
Malliavin calculus Stochastic semiflow Perfect cocycle Anticipating initial condition Substitution theorem Stochastic differential systems with memory Stochastic functional differential equation (sfde);Statistics
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