A generalization of the Wick-Itô stochastic integral

DOI10.1016/j.crma.2008.01.023zbMath1143.60029OpenAlexW2050888014MaRDI QIDQ2476524

David Levanony, Daniel Alpay, Haim Attia

Publication date: 20 March 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2008.01.023

zbMATH Keywords

fractional Brownian motionGaussian processWick productHida distributionstochastic integralreproducing Hilbert space

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (3)

A class of Gaussian processes with fractional spectral measures ⋮ An extension of Wiener integration with the use of operator theory ⋮ On the characteristics of a class of Gaussian processes within the white noise space setting

Cites Work

• Stochastic analysis of the fractional Brownian motion
• Rational functions and realization theory: The hyperholomorphic case
• Integration questions related to fractional Brownian motion
• Remarks to Maurice Frechet's article ``Sur la definition axiomatique d'une classe d'espaces vectoriels distancies applicables vectoriellement sur l'espace de Hilbert
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• DIRICHLET SPACES
• A General Fractional White Noise Theory And Applications To Finance
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic calculus with respect to Gaussian processes
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