The calculus of variations for processes with independent increments

DOI10.1216/RMJ-2008-38-2-669zbMath1195.60075MaRDI QIDQ1011026

Aleh Leonidovich Yablonski

Publication date: 7 April 2009

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

Lévy processesorthogonal polynomialsMalliavin calculusmultiple integralchaos expansionSkorokhod integralprocesses with independent increments

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

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