Pathwise Solution of Anticipating Sde with Mixed Driving
نویسنده
چکیده
Stochastic diierential equations in R n with random coeecients are considered where one continuous driving process admits a generalized quadratic variation process. The latter and the other driving processes are assumed to possess sample paths in the fractional Sobolev space W 2 for some > 1=2. The stochastic integrals are determined as anticipating forward integrals. A pathwise solution procedure is developed which combines the stochastic Itt calculus with norm estimates of associated integral operators in W 2 for 0 < < 1.
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