Canonical Representation for Gaussian Processes

DOI10.1007/978-3-642-01763-6_13zbMath1181.60058MaRDI QIDQ3653086

Mohamed Erraoui, El Hassan Es-Saky

Publication date: 18 December 2009

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-01763-6_13

zbMATH Keywords

Malliavin calculus; Girsanov theorem; Volterra processes; Stochastic integrals; Reproducing kernel Hilbert space

Mathematics Subject Classification ID

60G15: Gaussian processes

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)

Related Items

Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise, On the equivalence of probability spaces, A universal envelope for Gaussian processes and their kernels

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