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arXiv · 1711.06091

Extensions of the Hitsuda-Skorokhod integral

Peter Parczewski
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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, $p \geq 1$. 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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Peter Parczewski. 2017-11-16. Extensions of the Hitsuda-Skorokhod integral. https://arxiv.org/abs/1711.06091

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