Abstract:
Let ξ and η be arbitrary random variables. It is proved that there exists an independent of η random variable ζ, such that ξ is a function of η and ζ.
This result is applied to prove the existence, for any δ>0, of a δ-anticipating strong solution of an Itô stochastic equation with bounded drift and unit diffusion coefficient.
Citation:
A. V. Skorohod, “On a representation of random variables”, Teor. Veroyatnost. i Primenen., 21:3 (1976), 645–648; Theory Probab. Appl., 21:3 (1977), 628–632