In this paper we develop a stochastic calculus with respect to a Gaussian process of the form Bt=∫t0K(t,s)dWs, where W is a Wiener process and K(t,s) is a square integrable kernel, using the techniques of the stochastic calculus of variations. We deduce change-of-variable formulas for the indefinite integrals and we study the approximation by Riemann sums.The particular case of the fractional Brownian motion is discussed.
This is the published version, also available here: http://dx.doi.org/10.1214/aop/1008956692.
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