On the Relation Between the Stratonovich and Ogawa Integrals

David Nualart · Moshe Zakai

32 citations0/0 files storedThe Annals of Probability

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Stochastic processes and financial applications Mathematical and Theoretical Analysis Fuzzy Systems and Optimization

Abstract

It is shown that for a suitable definition of the nonadapted Stratonovich stochastic integral, the existence of the Ogawa integral implies that the Stratonovich integral exists and the two are equal.

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References

1983Stochastic Differential Equations and Diffusion Processes 1988Stochastic calculus with anticipating integrands 1986Generalized stochastic integrals and the malliavin calculus 1984Quelques propriétés de l’intégrale stochastique du type noncausal

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1990Multiple Wiener-Ito integrals possessing a continuous extension 2016A Fourier analytic approach to pathwise stochastic integration 1990Stochastic integration, trace and the skeleton of wiener functionals

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