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Wiener integrals, Malliavin calculus and covariance measure structure |
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| Authors: | Ida Kruk Ciprian A Tudor |
| Institution: | a Université de Paris 13, Institut Galilée, Mathématiques, 99, avenue J.B. Clément, F-93430, Villetaneuse Cedex, France b SAMOS/MATISSE, Centre d'Economie de La Sorbonne, Université de Panthéon-Sorbonne Paris 1, 90, rue de Tolbiac, 75634 Paris Cedex 13, France |
| Abstract: | We introduce the notion of 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 quadratic variation processes with stationary increments and the bifractional Brownian motion. |
| Keywords: | Square integrable processes Covariance measure structure Malliavin calculus Skorohod integral Bifractional Brownian motion |
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