Wiener integrals, Malliavin calculus and covariance measure structure

被引：45
作者：
Kruk, Ida
Russo, Francesco
Tudor, Ciprian A.
机构：
[1] Univ Paris 13, Inst Galilee, F-93430 Villetaneuse, France
[2] Univ Pantheon Sorbonne Paris 1, SAMOS, MATISSE, Ctr Econ La Sorbonne, F-75634 Paris 13, France
来源：
JOURNAL OF FUNCTIONAL ANALYSIS | 2007年 / 249卷 / 01期
关键词：
square integrable processes; covariance measure structure; malliavin calculus; skorohod integral; bifractional Brownian motion;
D O I：
10.1016/j.jfa.2007.03.031
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We introduce the notion of 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 quadratic variation processes with stationary increments and the bifractional Brownian motion. (c) 2007 Elsevier Inc. All rights reserved.
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页码：92 / 142
页数：51
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