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Continuity of some anticipating integral processes

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  • Hu, Yaozhong
  • Nualart, David

Abstract

In this paper we provide some sufficient conditions for the Skorohod integral process to have a continuous version. A first set of conditions require the existence of two square integrable derivatives and that the process has moments of order [beta] > 2. Secondly, we prove that the existence of the second derivative can be replaced by an integrability condition of the first derivative on the diagonal.

Suggested Citation

  • Hu, Yaozhong & Nualart, David, 1998. "Continuity of some anticipating integral processes," Statistics & Probability Letters, Elsevier, vol. 37(2), pages 203-211, February.
    • Handle: RePEc:eee:stapro:v:37:y:1998:i:2:p:203-211
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    Cited by:

    1. Elisa Alòs & David Nualart, 1998. "An Extension of Itô's Formula for Anticipating Processes," Journal of Theoretical Probability, Springer, vol. 11(2), pages 493-514, April.

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