Canonical Representation for Gaussian Processes

DOI10.1007/978-3-642-01763-6_13zbMath1181.60058MaRDI QIDQ3653086

Mohamed Erraoui, El Hassan Es-Saky

Publication date: 18 December 2009

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-01763-6_13

zbMATH Keywords

Malliavin calculus; Girsanov theorem; Volterra processes; Stochastic integrals; Reproducing kernel Hilbert space

Mathematics Subject Classification ID

60G15: Gaussian processes

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)

Cites Work

• Stochastic analysis of the fractional Brownian motion
• Construction of noncanonical representations of a Brownian motion
• Perturbation theory for linear operators.
• Euclidean distances on signed measures and application to Berry-Esséen theorems
• Representation of Gaussian processes equivalent to Wiener process
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• Equivalence of Volterra processes.
• Canonical representations of Gaussian processes and their applications
• Gaussian Hilbert Spaces
• Radon-Nikodym Derivatives of Gaussian Measures
• Stochastic calculus with respect to Gaussian processes
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