From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order

DOI10.2969/jmsj/06330887zbMath1233.60008OpenAlexW4297820203MaRDI QIDQ719087

Bernard Roynette, Marc Yor, Francis Hirsch

Publication date: 27 September 2011

Published in: Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2969/jmsj/06330887

zbMATH Keywords

Gaussian processconvex orderItô's calculus1-martingaleGaussian sheetItô type formulalog-normal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Related Items (3)

Peacocks Obtained by Normalisation: Strong and Very Strong Peacocks ⋮ IDT processes and associated Lévy processes with explicit constructions ⋮ White noise-based stochastic calculus with respect to multifractional Brownian motion

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