Wiener integrals, Malliavin calculus and covariance measure structure

Details Wiener integrals, Malliavin calculus and covariance measure structure Wiener integrals, Malliavin calculus and covariance measure structure

2006-06-02

arxiv.org/abs/math/0606069v2

Mathematics

Probability

50 pages

Scientific paper

We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratric variation processes with stationary increments and the bifractional Brownian motion.

Affiliated with

Also associated with

No associations

Rating

Wiener integrals, Malliavin calculus and covariance measure structure does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Wiener integrals, Malliavin calculus and covariance measure structure, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Wiener integrals, Malliavin calculus and covariance measure structure will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-633908