| dc.contributor.author | Alos, Elisa | |
| dc.contributor.author | Mazet, Olivier | |
| dc.contributor.author | Nualart, David | |
| dc.date.accessioned | 2015-03-11T20:22:04Z | |
| dc.date.available | 2015-03-11T20:22:04Z | |
| dc.date.issued | 2001-12-05 | |
| dc.identifier.citation | Alòs, Elisa ,1 2; and Mazet, Olivier; Nualart, David. Stochastic Calculus with Respect to Gaussian Processes. Ann. Probab. 29 (2001), no. 2, 766--801. http://dx.doi.org/10.1214/aop/1008956692. | en_US |
| dc.identifier.uri | http://hdl.handle.net/1808/17052 | |
| dc.description | This is the published version, also available here: http://dx.doi.org/10.1214/aop/1008956692. | en_US |
| dc.description.abstract | 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. | en_US |
| dc.publisher | Institute of Mathematical Statistics | en_US |
| dc.subject | Stochastic integral | en_US |
| dc.subject | Malliavin calculus | en_US |
| dc.subject | Ito's formula | en_US |
| dc.subject | fractional Brownian motion | en_US |
| dc.title | Stochastic Calculus with Respect to Gaussian Processes | en_US |
| dc.type | Article | |
| kusw.kuauthor | Nualart, David | |
| kusw.kudepartment | Mathematics | en_US |
| dc.identifier.doi | 10.1214/aop/1008956692 | |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess | |
