From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order

DOI10.2969/JMSJ/06330887MaRDI QIDQ719087zbMATHOpenAlexFDO

Authors Francis Hirsch, Bernard Roynette, Marc Yor

Publication date 27 September 2011

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2969/jmsj/06330887

zbMATH Keywords

Gaussian processconvex order1-martingaleGaussian sheetlog-normal processItô's calculusItô type formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Recommendations

• Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
• Itô's formula for Gaussian processes with stochastic discontinuities
• Pathwise integrals and Itô-Tanaka formula for Gaussian processes
• Stochastic integration with respect to Gaussian processes.
• Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets

Cites work

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• Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets

Cited in

(5)

• IDT processes and associated Lévy processes with explicit constructions
• Peacocks obtained by normalisation: strong and very strong peacocks
• A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order

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