Sobolev derivatives and Itô decomposition formula for Gaussian processes using properties of their RKHSs
type: Item
instance of: scholarly article
title: Sobolev derivatives and Itô decomposition formula for Gaussian processes using properties of their RKHSs
zbMATH Open document ID: 0761.60037
DOI: 10.1007/BF01371087
author: G. J. Zimmerman
published in: Applied Mathematics and Optimization
publication date: 1993-04-01T00:00:00Z
Mathematics Subject Classification ID: 60G20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H99
Mathematics Subject Classification ID: 58J65
zbMATH DE Number: 147397
zbMATH Keywords: tensor products
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: reproducing kernel Hilbert space
zbMATH Keywords: Sobolev derivative
zbMATH Keywords: chaos expansion
zbMATH Keywords: Itô's decomposition formula
MaRDI profile type: Publication
cites work: Homogeneous Chaos, p-Forms, Scaling and the Feynman Integral
cites work: Q3908216
cites work: Generalized stochastic integrals and the Malliavin calculus
cites work: On a Generalization of a Stochastic Integral
description: scientific article; zbMATH DE number 147397