Extensions of the Hitsuda-Skorokhod integral

2017/11/16 by Parczewski, Peter
#60H05 #60H40 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1711.06091

Abstract

We present alternative definitions of the stochastic integral introduced by Ayew and Kuo and of the Hitsuda-Skorokhod integral extended to domains in L^p-spaces, p ≥ 1. Our approach is motivated by the S-transform characterization of the Hitsuda-Skorokhod integral and based on simple processes of stochastic exponential type. We prove that the new stochastic integral extends the mentioned stochastic integrals above and we outline their connection.

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