On near-martingales and a class of anticipating linear stochastic differential equations

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The goals of this paper are to prove a near-martingale optional stopping theorem and establish solvability and large deviations for a class of anticipating linear stochastic differential equations. For a class of anticipating linear stochastic differential equations, we prove the existence and uniqueness of solutions using two approaches: (1) Ayed–Kuo differential formula using an ansatz, and (2) a braiding technique by interpreting the integral in the Skorokhod sense. We establish a Freidlin–Wentzell type large deviations result for the solution of such equations. In addition, we prove large deviation results for small noise where the initial conditions are random.