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Anticipative Stochastic Differential Equations with Non-smooth Diffusion Coefficient
Non-smooth and anticipative stochastic differential equations Skorohod integral Malliavin derivative
2007/12/11
In this paper we prove the existence and uniqueness of the solutions to the one-dimensional linear stochastic differential equation with Skorohod integral $$\ \ X_t(\omega )=\eta (\omega )+ \int^t_0 a...