Conditionally Gaussian stochastic integrals

DOI10.1016/j.crma.2015.09.022zbMath1335.60083OpenAlexW1864676862MaRDI QIDQ5965100

Qihao She, Nicolas Privault

Publication date: 2 March 2016

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2015.09.022

zbMATH Keywords

conditional Brownian identityGaussian stochastic integralsMalliavin derivativequadratic Brownian integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

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• Cumulant operators and moments of the Itô and Skorohod integrals
• Random rotations of the Wiener path
• Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals
• The Malliavin Calculus and Related Topics