scientific article; zbMATH DE number 5961452

zbMATH Open1229.60043MaRDI QIDQ3094151FDOQ3094151

Authors David Nualart, Salvador Ortiz-Latorre 

Publication date 21 October 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814355711/9789814355711_0001.html

zbMATH Keywords

Gaussian processesMalliavin calculusfractional Brownian motionWick-Itô formula

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (6)

• Wick–Itô formula for regular processes and applications to the Black and Scholes formula
• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Skorohod and rough integration for stochastic differential equations driven by Volterra processes
• Pathwise integrals and Itô-Tanaka formula for Gaussian processes
• Wick-Itô Formula for Gaussian Processes
• Wiener-Itô theorem in terms of Wick tensors

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