Integration-by-Parts Characterizations of Gaussian Processes
Probability
2019-04-08 v1
Abstract
The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes, the so-called Gaussian Fredholm processes.
Cite
@article{arxiv.1904.02890,
title = {Integration-by-Parts Characterizations of Gaussian Processes},
author = {Ehsan Azmoodeh and Tommi Sottinen and Ciprian A. Tudor and Lauri Viitasaari},
journal= {arXiv preprint arXiv:1904.02890},
year = {2019}
}
Comments
Keywords: Gaussian processes, Malliavin calculus, Stein's lemma