Sur le processus de vraisemblance partielle

Jean Jacod

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Intégrales stochastiques de processus anticipants et projections duales prévisibles.

Catherine Donati-Martin, Marc Yor (1999)

Publicacions Matemàtiques

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We define a stochastic anticipating integral δ^μ with respect to Brownian motion, associated to a non adapted increasing process (μ_t), with dual projection t. The integral δ^μ(u) of an anticipating process (u_t) satisfies: for every bounded predictable process f_t, E [ (∫ f_sdB_s ) δ^μ(u) ] = E [ ∫ f_su...