Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk; Francesco Russo; Ciprian A. Tudor

doi:10.1016/j.jfa.2007.03.031

Wiener integrals, Malliavin calculus and covariance measure structure

Ida Kruk
, Francesco Russo
, Ciprian A. Tudor

Institut Galilée
Paris School of Economics

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

58 Citations (Scopus)

Résumé

We introduce the notion of covariance measure structure for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratic variation processes with stationary increments and the bifractional Brownian motion.

langue originale	Anglais
Pages (de - à)	92-142
Nombre de pages	51
journal	Journal of Functional Analysis
Volume	249
Numéro de publication	1
Les DOIs	https://doi.org/10.1016/j.jfa.2007.03.031
état	Publié - 1 août 2007
Modification externe	Oui

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10.1016/j.jfa.2007.03.031

Contient cette citation

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title = "Wiener integrals, Malliavin calculus and covariance measure structure",

abstract = "We introduce the notion of covariance measure structure for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratic variation processes with stationary increments and the bifractional Brownian motion.",

keywords = "Bifractional Brownian motion, Covariance measure structure, Malliavin calculus, Skorohod integral, Square integrable processes",

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AU - Russo, Francesco

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KW - Bifractional Brownian motion

KW - Covariance measure structure

KW - Malliavin calculus

KW - Skorohod integral

KW - Square integrable processes

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DO - 10.1016/j.jfa.2007.03.031

M3 - Article

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Wiener integrals, Malliavin calculus and covariance measure structure

Résumé

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