Stochastic analysis for Gaussian random processes and fields: with applications
fractional Brownian motionGaussian processesGaussian random fieldsItō integralMallivian calculusmathematical financereproducing kernel Hilbert spacesSchwartz spaceSkorokhod integral
Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Financial applications of other theories (91G80)
- Infinite-dimensional analysis. Operators in Hilbert space; stochastic calculus via representations, and duality theory
- scientific article; zbMATH DE number 1577393
- scientific article; zbMATH DE number 2109358
- Stochastic analysis of mixed fractional Gaussian processes
- scientific article; zbMATH DE number 107977
- Elements of stochastic analysis for the case of Grassmann variables. I: Grassmann stochastic integrals and random processes
- Gaussian fields, equilibrium potentials and multiplicative chaos for Dirichlet forms
- Stochastic integrals and evolution equations with Gaussian random fields
- Spectral conditions for equivalence of Gaussian random fields with stationary increments
- scientific article; zbMATH DE number 46814 (Why is no real title available?)
- scientific article; zbMATH DE number 107977 (Why is no real title available?)
- Weakly stationary random fields, invariant subspaces and applications
- A hyperbolic divergence based nonparametric test for two‐sample multivariate distributions
- Non-parametric two-sample tests: recent developments and prospects
- From Least Squares to Signal Processing and Particle Filtering
- Logarithmic and linear potentials of signed measures and Markov property of associated Gaussian fields
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