The determinant of the Malliavin matrix and the determinant of the covariance matrix for multiple integrals

zbMath1277.60053arXiv1302.4419MaRDI QIDQ2866837

Ciprian A. Tudor

Publication date: 9 December 2013

Full work available at URL: https://arxiv.org/abs/1302.4419

zbMATH Keywords

covariance matrixWiener chaosmultiple stochastic integralsMalliavin matrixexistence of density

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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