Skorokhod integral
In mathematics, the Skorokhod integral, often denoted δ, is an operator of great importance in the theory of stochastic processes. It is named after the Ukrainian mathematician Anatoliy Skorokhod. Part of its importance is that it unifies several concepts:
* δ is an extension of the Itô integral to non-adapted processes;
* δ is the adjoint of the Malliavin derivative, which is fundamental to the stochastic calculus of variations (Malliavin calculus);
* δ is an infinite-dimensional generalization of the divergence operator from classical vector calculus.
known for
primaryTopic
Skorokhod integral
In mathematics, the Skorokhod integral, often denoted δ, is an operator of great importance in the theory of stochastic processes. It is named after the Ukrainian mathematician Anatoliy Skorokhod. Part of its importance is that it unifies several concepts:
* δ is an extension of the Itô integral to non-adapted processes;
* δ is the adjoint of the Malliavin derivative, which is fundamental to the stochastic calculus of variations (Malliavin calculus);
* δ is an infinite-dimensional generalization of the divergence operator from classical vector calculus.
has abstract
In mathematics, the Skorokhod ...... rom classical vector calculus.
@en
Link from a Wikipage to an external page
Wikipage page ID
18,420,736
Wikipage revision ID
698,212,356
title
Skorokhod integral
hypernym
type
comment
In mathematics, the Skorokhod ...... rom classical vector calculus.
@en
label
Skorokhod integral
@en