Stochastic calculus with respect to Gaussian processes
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Publication:5915903
DOI10.1007/s11118-017-9671-5zbMath1442.60043arXiv1408.1020OpenAlexW3106345382MaRDI QIDQ5915903
Publication date: 22 January 2019
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1408.1020
Gaussian processesItô formulastochastic analysiswhite noise theoryvarying regularity processesWick-Itô integrals
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Stochastic integrals (60H05)
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