Une généralisation de l'intégrale stochastique de Wick-Itô

Daniel Alpay; Haim Attia; David Levanony

doi:10.1016/j.crma.2008.01.023

Une généralisation de l'intégrale stochastique de Wick-Itô

Translated title of the contribution: A generalization of the Wick-Itô stochastic integral

Daniel Alpay, Haim Attia, David Levanony

Research output: Contribution to journal › Article › peer-review

7 Scopus citations

Abstract

The covariance of the fractional Brownian motion belongs to a family of positive functions introduced by Schoenberg in the 1930s. We show that one can define a stochastic integral for a large sub-family of the corresponding Gaussian second order stochastic processes. To cite this article: D. Alpay et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

Translated title of the contribution	A generalization of the Wick-Itô stochastic integral
Original language	French
Pages (from-to)	261-265
Number of pages	5
Journal	Comptes Rendus Mathematique
Volume	346
Issue number	5-6
DOIs	https://doi.org/10.1016/j.crma.2008.01.023
State	Published - 1 Mar 2008

ASJC Scopus subject areas

General Mathematics

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10.1016/j.crma.2008.01.023

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AU - Attia, Haim

AU - Levanony, David

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N2 - The covariance of the fractional Brownian motion belongs to a family of positive functions introduced by Schoenberg in the 1930s. We show that one can define a stochastic integral for a large sub-family of the corresponding Gaussian second order stochastic processes. To cite this article: D. Alpay et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

AB - The covariance of the fractional Brownian motion belongs to a family of positive functions introduced by Schoenberg in the 1930s. We show that one can define a stochastic integral for a large sub-family of the corresponding Gaussian second order stochastic processes. To cite this article: D. Alpay et al., C. R. Acad. Sci. Paris, Ser. I 346 (2008).

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M3 - מאמר

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JF - Comptes Rendus Mathematique

IS - 5-6

ER -

Une généralisation de l'intégrale stochastique de Wick-Itô

Abstract

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