Wick-Itô Formula for Gaussian Processes

DOI10.1080/07362990600629348MaRDI QIDQ5478918zbMATH OpenOpenAlexFDO

Authors David Nualart, Murad S. Taqqu

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

zbMATH Keywords

Fractional Brownian motionItô formulaMalliavin calculusStochastic integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Stochastic analysis of the fractional Brownian motion
• Stochastic calculus with respect to Gaussian processes
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Stochastic integration with respect to fractional Brownian motion

Cited in

(14)

• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
• Skorohod and Stratonovich integrals for controlled 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
• A generalised Itō formula for Lévy-driven Volterra processes
• An almost sure limit theorem for Wick powers of Gaussian differences quotients
• scientific article; zbMATH DE number 5961452 (Why is no real title available?)
• Wick–Itô formula for regular processes and applications to the Black and Scholes formula
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes
• Stochastic calculus with respect to Gaussian processes
• On the Wiener chaos expansion of the signature of a Gaussian process
• Backward SDEs driven by Gaussian processes
• An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach

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