Cumulant operators and moments of the Itô and Skorohod integrals (Q357427): Difference between revisions
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| Property / review text | |||
Consider a variable \(F\) and a process \(u_t\) defined on the Wiener space. Denote by \(\delta(u)\) the Skorohod integral of \(u\). The classical duality formula of Malliavin's calculus states that the expectation \(E[F\,\delta(u)]\) is equal to \(E[\langle DF,u\rangle_H]\) for the gradient operator \(D\). The aim of this work is to obtain more generally a formula for \(E[F\,\delta(u)^n]\). This formula involves some cumulant operators which are defined in terms of \(D\). | |||
| Property / review text: Consider a variable \(F\) and a process \(u_t\) defined on the Wiener space. Denote by \(\delta(u)\) the Skorohod integral of \(u\). The classical duality formula of Malliavin's calculus states that the expectation \(E[F\,\delta(u)]\) is equal to \(E[\langle DF,u\rangle_H]\) for the gradient operator \(D\). The aim of this work is to obtain more generally a formula for \(E[F\,\delta(u)^n]\). This formula involves some cumulant operators which are defined in terms of \(D\). / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Jean Picard / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H07 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6192621 / rank | |||
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| Property / zbMATH Keywords | |||
Malliavin calculus | |||
| Property / zbMATH Keywords: Malliavin calculus / rank | |||
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| Property / zbMATH Keywords | |||
Skorohod integral | |||
| Property / zbMATH Keywords: Skorohod integral / rank | |||
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| Property / zbMATH Keywords | |||
cumulant operators | |||
| Property / zbMATH Keywords: cumulant operators / rank | |||
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Revision as of 09:47, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cumulant operators and moments of the Itô and Skorohod integrals |
scientific article |
Statements
Cumulant operators and moments of the Itô and Skorohod integrals (English)
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30 July 2013
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Consider a variable \(F\) and a process \(u_t\) defined on the Wiener space. Denote by \(\delta(u)\) the Skorohod integral of \(u\). The classical duality formula of Malliavin's calculus states that the expectation \(E[F\,\delta(u)]\) is equal to \(E[\langle DF,u\rangle_H]\) for the gradient operator \(D\). The aim of this work is to obtain more generally a formula for \(E[F\,\delta(u)^n]\). This formula involves some cumulant operators which are defined in terms of \(D\).
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Malliavin calculus
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Skorohod integral
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cumulant operators
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