Wiener integrals, Malliavin calculus and covariance measure structure
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Publication:2642075
DOI10.1016/J.JFA.2007.03.031zbMATH Open1126.60046arXivmath/0606069OpenAlexW2165951896MaRDI QIDQ2642075
Author name not available (Why is that?)
Publication date: 20 August 2007
Published in: (Search for Journal in Brave)
Abstract: We introduce the notion of {em 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 quadratric variation processes with stationary increments and the bifractional Brownian motion.
Full work available at URL: https://arxiv.org/abs/math/0606069
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