Stochastic calculus with respect to Gaussian processes

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DOI10.1214/aop/1008956692zbMath1015.60047OpenAlexW2127436039MaRDI QIDQ5917508

David Nualart, Elisa Alòs, Olivier Mazet

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aop/1008956692

zbMATH Keywords

fractional Brownian motion Malliavin calculus Itô formula stochastic integrals

Mathematics Subject Classification ID

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

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