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Article Dans Une Revue Journal of Functional Analysis Année : 2007

Wiener integrals, Malliavin calculus and covariance measure structure

Résumé

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.

Dates et versions

hal-00311406 , version 1 (15-08-2008)

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Ida Kruk, Francesco Russo, Ciprian A. Tudor. Wiener integrals, Malliavin calculus and covariance measure structure. Journal of Functional Analysis, 2007, 249 (1), pp.92-142. ⟨10.1016/j.jfa.2007.03.031⟩. ⟨hal-00311406⟩
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