Extensions of the Hitsuda-Skorokhod integral

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, $p\ge 1$. 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.