Linear stochastic differential equations with anticipating initial conditions

Abstract

In this paper we use the new stochastic integral introduced by Ayed and Kuo [1] and the results obtained by Kuo, Sae-Tang and Szozda Our solution is based on well-known results from classical It theory and anticipative It formula results from We also show that the solution obtained by our method is consistent with the solution obtained by the methods of Malliavin calculus, see e.g.,