Smoothing problem in anticipating scenario

Details Smoothing problem in anticipating scenario Smoothing problem in anticipating scenario

2006-11-24

arxiv.org/abs/math/0611749v1

Ukrainian Mathematical Journal, 2005, V. 57, #9, p. 1218-1234

Mathematics

Probability

22 pages

Scientific paper

This article is devoted to the stochastic anticipating equations with the
extended stochastic integral with respect to the Gaussian processes of a
special type and its application to the smoothing problem in the case when
noise is represented by the two jointly Gaussian Wiener processes, which can
have not a semimartingale property with respect to the joint filtration.

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