Standardizing densities on Gaussian spaces

DOI10.1016/J.SPL.2018.01.033MaRDI QIDQ1640961zbMATH OpenOpenAlexFDO

Authors A. Lanconelli

Publication date 14 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.07043

zbMATH Keywords

abstract Wiener spacesstandardized random variablesWick exponentials

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In the present note we investigate the problem of standardizing random variables taking values on infinite dimensional Gaussian spaces. In particular, we focus on the transformations induced on densities by the selected standardization procedure. We discover that, under certain conditions, the Wick exponentials are the key ingredients for treating this kind of problems.

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Cited in

(1)

• Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations

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