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Stochastic integration with respect to the cylindrical Wiener process via regularization

Following the ideas of F. Russo and P. Vallois we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Winer process. This integral is an extension of the classical integral. As an application, we prove existence of solution of a parabolic stochastic differential partial equation with anticipating stochastic initial date.

preprint2012arXivOpen access
Christian Olivera
math.PRmath.FA
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Christian Olivera

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