Wiener integrals, Malliavin calculus and covariance measure structure
Probability
2007-05-23 v2
Abstract
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.
Cite
@article{arxiv.math/0606069,
title = {Wiener integrals, Malliavin calculus and covariance measure structure},
author = {Ida Kruk and Francesco Russo and Ciprian Tudor},
journal= {arXiv preprint arXiv:math/0606069},
year = {2007}
}
Comments
50 pages