An extension of the divergence operator for Gaussian processes

DOI10.1016/j.spa.2004.09.008zbMath1079.60034OpenAlexW2080212299MaRDI QIDQ2485837

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

zbMATH Keywords

Malliavin calculusFractional calculusStochastic integralGaussian processes on Hilbert spaces

Mathematics Subject Classification ID

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

Related Items

Wiener integrals, Malliavin calculus and covariance measure structure, Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\), Stochastic differential equations driven by fractional Brownian motions, 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, A general non-existence result for linear BSDEs driven by Gaussian processes, Stochastic calculus with respect to Gaussian processes, Some linear fractional stochastic equations, Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2, Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2, Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator

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