Differentiating σ-fields for Gaussian and shifted Gaussian processes

DOI10.1080/17442500802270768zbMath1163.60017arXivmath/0701910OpenAlexW2084901510MaRDI QIDQ3612254

Ivan Nourdin, Giovanni Peccati, Sébastien Darses

Publication date: 3 March 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701910

zbMATH Keywords

fractional Brownian motionfractional differential equationsstochastic derivativesdifferentiating \(\sigma\)-fieldsNelson's derivatives

Mathematics Subject Classification ID

Gaussian processes (60G15) General theory of stochastic processes (60G07) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Stochastic derivatives for fractional diffusions
• Regularization of differential equations by fractional noise.
• The Malliavin Calculus and Related Topics
• Differentiation of Karhunen-Loève expansion and application to optimum reception of sure signals in noise
• Unnamed Item