Article ID Journal Published Year Pages File Type
4592143 Journal of Functional Analysis 2007 51 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Algebra and Number Theory