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Smoothing Problem in Anticipating Scenario

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Abstract

We consider a smoothing problem for stochastic processes satisfying stochastic differential equations with Wiener processes that may not have a semimartingale property with respect to the joint filtration.

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Authors and Affiliations

  1. Institute of Mathematics, Ukrainian Academy of Sciences, Kiev, Ukraine

    A. A. Dorogovtsev

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  1. A. A. Dorogovtsev
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Published in Ukrains'kyi Matematychnyi Zhurnal, Vol. 57, No. 9, pp. 1218–1234, September, 2005.

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Dorogovtsev, A.A. Smoothing Problem in Anticipating Scenario. Ukr Math J 57, 1424–1441 (2005). https://doi.org/10.1007/s11253-006-0005-9

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  • DOI: https://doi.org/10.1007/s11253-006-0005-9

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