White noise based stochastic calculus associated with a class of gaussian processes

Daniel Alpay, Haim Attia, David Levanony

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spaces. We also prove an associated Ito formula.

Original languageEnglish
Pages (from-to)401-422
Number of pages22
JournalOpuscula Mathematica
Volume32
Issue number3
DOIs
StatePublished - 1 Jan 2012

Keywords

  • Stochastic integral
  • White noise space
  • Wick product

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