From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
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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
- scientific article; zbMATH DE number 50805 (Why is no real title available?)
- scientific article; zbMATH DE number 1952026 (Why is no real title available?)
- scientific article; zbMATH DE number 206027 (Why is no real title available?)
- scientific article; zbMATH DE number 3306391 (Why is no real title available?)
- A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion
- A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
- Construction of pure states in mean field models for spin glasses
- Gaussian Hilbert Spaces
- Generalized sweeping-out and probability
- Looking for martingales associated to a self-decomposable law
- Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
- On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
- Peacocks and associated martingales, with explicit constructions
- Stopping distributions for right processes
- The Existence of Probability Measures with Given Marginals
- The stopping distributions of a Markov process
- Une inegalité du type de Slepian et Gordon sur les processus gaussiens. (An inequality of Slepian and Gordon type for Gaussian processes)
- Unifying constructions of martingales associated with processes increasing in the convex order, via Lévy and Sato sheets
Cited in
(6)- 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
- Applying Itō's motto: ``Look at the infinite dimensional picture by constructing sheets to obtain processes increasing in the convex order
- White noise-based stochastic calculus with respect to multifractional Brownian motion
- IDT processes and associated Lévy processes with explicit constructions
- Weak error estimates for rough volatility models
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