An extension of the divergence operator for Gaussian processes

DOI10.1016/J.SPA.2004.09.008zbMATH Open1079.60034OpenAlexW2080212299MaRDI QIDQ2485837FDOQ2485837

Authors: David Nualart, Jorge A. Leon 

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.09.008

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zbMATH Keywords

Malliavin calculusFractional calculusStochastic integralGaussian processes on Hilbert spaces

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cites Work

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• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Stochastic integration with respect to fractional Brownian motion
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)

Cited In (14)

• Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2
• Stochastic differential equations driven by fractional Brownian motions
• Formulas for the divergence operator in isonormal Gaussian space
• Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
• Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Some linear fractional stochastic equations
• Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
• Wiener integrals, Malliavin calculus and covariance measure structure
• Continuous factorizations of covariance operators and Gaussian processes
• An operator theoretical characterization of \(\epsilon\)-entropy in Gaussian processes
• Stochastic calculus with respect to Gaussian processes
• A general non-existence result for linear BSDEs driven by Gaussian processes
• Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2

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