Stochastic analysis for Gaussian random processes and fields: with applications
zbMATH Open1333.60008MaRDI QIDQ5255014FDOQ5255014
Authors: V. S. Mandrekar, L. Gawarecki 
Publication date: 11 June 2015
Full work available at URL: http://www.crcnetbase.com/isbn/9781498707824
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Gaussian processesGaussian random fieldsreproducing kernel Hilbert spacesfractional Brownian motionmathematical financeSkorokhod integralSchwartz spaceMallivian calculusItō integral
Gaussian processes (60G15) Random fields (60G60) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Stochastic integrals (60H05) Financial applications of other theories (91G80)
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- Elements of stochastic analysis for the case of Grassmann variables. I: Grassmann stochastic integrals and random processes
- Spectral conditions for equivalence of Gaussian random fields with stationary increments
- Logarithmic and linear potentials of signed measures and Markov property of associated Gaussian fields
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