Extensions of the Hitsuda-Skorokhod integral
classification
🧮 math.PR
keywords
integralstochastichitsuda-skorokhodabovealternativeapproachayewcharacterization
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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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