Canonical Representation for Gaussian Processes

DOI10.1007/978-3-642-01763-6_13zbMath1181.60058OpenAlexW75077551MaRDI 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 calculusGirsanov theoremVolterra processesStochastic integralsReproducing kernel Hilbert space

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22)

Related Items (6)

Lp-valued stochastic convolution integral driven by Volterra noise ⋮ On the equivalence of probability spaces ⋮ The Girsanov Theorem Without (So Much) Stochastic Analysis ⋮ Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise ⋮ A universal envelope for Gaussian processes and their kernels ⋮ Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems

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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