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.

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.