Wick-It Formula for Gaussian Processes

Authors: David Nualart ^a; Murad S. Taqqu ^b

Affiliations:	^a Department of Mathematics, University of Kansas, Lawrence, Kansas, USA
	^b Department of Mathematics and Statistics, Boston University, Boston, Massachusetts, USA

DOI: 10.1080/07362990600629348

Publication Frequency: 6 issues per year

Published in: journal

Stochastic Analysis and Applications, Volume 24, Issue 3 July 2006 , pages 599 - 614

Subjects: Statistics & Probability; Stochastic Models & Processes;

Article Requests: Order Reprints : Request Permissions

Full text options: no full text options are available.

Abstract

A Wick-It

formula for Gaussian processes is obtained. This is a change of variables formula, which is to Wick-It ocirc

integrals what the usual It ocirc

formula is to It ocirc

integrals. The conditions are weak enough to allow processes with infinite quadratic variation. They are satisfied by fractional Brownian motion with parameter 1/4 < H < 1.

Keywords: Fractional Brownian motion; It ocirc

formula; Malliavin calculus; Stochastic integration

Mathematics Subject Classification: Primary 60H07; Secondary 60G18, 60G15

view references (9)

Bookmark with:

More bookmarks

informaworld

General Information

Wick-It Formula for Gaussian Processes

Abstract