The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals
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Issue Date
2017Author
Nualart, David
Tudor, Ciprian A.
Publisher
Institute of Mathematical Statistics
Type
Article
Article Version
Scholarly/refereed, publisher version
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Show full item recordAbstract
The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a linear combination of the expectation of the determinant of its iterated Malliavin matrices. As an application, we show that the vector is not absolutely continuous if and only if its components are proportional.
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Citation
Nualart, D., & Tudor, C. A. (2017). The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals. The Annals of Probability, 45(1), 518-534.
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