The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals

DOI10.1214/15-AOP1015zbMath1364.60071arXiv1402.4607OpenAlexW2963898618MaRDI QIDQ516127

David Nualart, Ciprian A. Tudor

Publication date: 22 March 2017

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.4607

zbMATH Keywords

covariance matrixdeterminantWiener chaosmultiple stochastic integralsabsolutely continuous lawiterated Malliavin matrix

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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