Wick-Itô Formula for Gaussian Processes
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Publication:5478918
DOI10.1080/07362990600629348zbMath1123.60041OpenAlexW2090499692MaRDI QIDQ5478918
Publication date: 13 July 2006
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600629348
Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
Related Items (11)
Skorohod and Stratonovich integrals for controlled processes ⋮ On Stratonovich and Skorohod stochastic calculus for Gaussian processes ⋮ Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) ⋮ Itô's formula for Gaussian processes with stochastic discontinuities ⋮ Wick–Itô formula for regular processes and applications to the Black and Scholes formula ⋮ An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Backward SDEs driven by Gaussian processes ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\) ⋮ A generalised Itō formula for Lévy-driven Volterra processes
Cites Work
- Stochastic analysis of the fractional Brownian motion
- Stochastic integration with respect to fractional Brownian motion
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Stochastic calculus with respect to Gaussian processes
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