Canonical representation for Gaussian processes

DOI10.1007/978-3-642-01763-6_13MaRDI QIDQ3653086zbMATH OpenOpenAlexFDO

Authors M. Erraoui, E. H. Essaky

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

Girsanov theoremMalliavin calculusReproducing kernel Hilbert spaceStochastic integralsVolterra processes

Mathematics Subject Classification ID

Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

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Cited in

(21)

• The backward canonical representations and interpolations for multiple Markov Gaussian processes
• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• Representation of self-similar Gaussian processes
• On the equivalence of probability spaces
• A universal envelope for Gaussian processes and their kernels
• Gaussian processes and Gaussian random fields
• scientific article; zbMATH DE number 424625 (Why is no real title available?)
• A topic on noncanonical representations of Gaussian processes
• Topics on noncanonical representations of Gaussian processes
• scientific article; zbMATH DE number 1254402 (Why is no real title available?)
• L^p-valued stochastic convolution integral driven by Volterra noise
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• scientific article; zbMATH DE number 1877034 (Why is no real title available?)
• CANONICAL PROPERTY OF REPRESENTATIONS OF GAUSSIAN PROCESSES WITH SINGULAR VOLTERRA KERNELS
• CANONICAL REPRESENTATION OF STATIONARY QUANTUM GAUSSIAN PROCESSES
• Stochastic analysis of Gaussian processes via Fredholm representation
• The Girsanov theorem without (so much) stochastic analysis
• Representations and regularity of Gaussian processes
• A post-predictive view of gaussian processes
• A post-predictive view of gaussian processes
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process

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