Smoothing problem in anticipating scenario
arXiv:math/0611749
Abstract
This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type and its application to the smoothing problem in the case when noise is represented by the two jointly Gaussian Wiener processes, which can have not a semimartingale property with respect to the joint filtration.
22 pages