Wiener integrals, Malliavin calculus and covariance measure structure

Abstract : We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratric variation processes with stationary increments and the bifractional Brownian motion.
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https://hal.archives-ouvertes.fr/hal-00078163
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Submitted on : Wednesday, April 18, 2007 - 9:13:01 AM
Last modification on : Wednesday, November 20, 2019 - 2:10:41 AM
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Ida Kruk, Francesco Russo, Ciprian Tudor. Wiener integrals, Malliavin calculus and covariance measure structure. 2007. ⟨hal-00078163v2⟩

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