The determinant of the Malliavin matrix and the determinant of the covariance matrix for multiple integrals
Résumé
A well-known problem in Malliavin calculus concerns the relation between the determinant of the Malliavin matrix of a random vector and the determinant of its covariance matrix. We give an explicit relation between these two determinants for couples of random vectors of multiple integrals.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)