Title of article :
An extension of the divergence operator for Gaussian processes
Author/Authors :
Leَn، نويسنده , , Jorge A. and Nualart، نويسنده , , David، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Abstract :
We extend the domain of the divergence operator δ for Gaussian processes in the sense of the calculus of variations. As an example, we discuss the case of the fractional Brownian motion with Hurst parameter in ( 0 , 1 2 ) defined on a finite time interval. If H < 1 4 this process does not belong to the domain of δ , but it is in the extended domain.
Keywords :
Stochastic integral , Malliavin Calculus , fractional calculus , Gaussian processes on Hilbert spaces , Divergence operator
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
