Wiener integrals, Malliavin calculus and covariance measure structure
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Publication:2642075
Abstract: We introduce the notion of {em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratric variation processes with stationary increments and the bifractional Brownian motion.
The stochastic calculus, and in particular the construction of the Skorohod integral, are developed for a new class of processes. More precisely, one considers square integrable processes \(X\) having a ``covariance structure measure; this means that the covariance \(R(s,t)= \text{cov}(X_s,X_t)\) can be associated to a measure \(\mu\) on \([0,T]^2\). Gaussian processes are more particularly considered, in particular fractional Brownian motions, or more generally bifractional Brownian motions \[ R(s,t)=2^{-K}((t^{2H}+s^{2H})^K -| t-s| ^{2HK})\quad 0<H<1,\quad 0<K\leq1 \] in the case \(2HK\geq1\). Malliavin derivation and Skorohod integration are developed in this setting. A more precise description is given in the Gaussian case. In particular, the relation with pathwise integrals is discussed, and an Itô formula is given.
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