A. Kohatsuhiga et Ja. Leon, ANTICIPATING STOCHASTIC DIFFERENTIAL-EQUATIONS OF STRATONOVICH TYPE, Applied mathematics & optimization, 36(3), 1997, pp. 263-289
We prove the existence and uniqueness of Stratonovich stochastic diffe
rential equations where the coefficients and the initial condition may
depend on the whole path of the driving Wiener process. Our main hypo
thesis is that the diffusion coefficient satisfies the Frobenius condi
tion. The solution is given in terms of solutions of ordinary differen
tial equations and the Wiener process. We use this representation to s
tudy properties of the solution.