Sobolev derivatives and Itô decomposition formula for Gaussian processes using properties of their RKHSs

DOI10.1007/BF01371087zbMath0761.60037MaRDI QIDQ1205509

G. J. Zimmerman

Publication date: 1 April 1993

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculustensor productschaos expansionreproducing kernel Hilbert spaceSobolev derivativeItô's decomposition formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalized stochastic processes (60G20) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic analysis (60H99)

Related Items (1)

Fuzzy linguistic optimization on surface roughness for CNC turning

Cites Work

• Generalized stochastic integrals and the Malliavin calculus
• On a Generalization of a Stochastic Integral
• Homogeneous Chaos, p-Forms, Scaling and the Feynman Integral
• Unnamed Item

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