We consider two different Brownian motions, B and Ba; each of them produces a Wiener-Itˆo chaos representation and therefore defines a Malliavin derivative, D and Da, and a Skorohod integral, and a, respectively. Our aim is to rewrite the differential operators Da and a in terms of D and .
The Ornstein-Uhlenbeck process and a related Malliavin calculus
LANCONELLI, ALBERTO
2007-01-01
Abstract
We consider two different Brownian motions, B and Ba; each of them produces a Wiener-Itˆo chaos representation and therefore defines a Malliavin derivative, D and Da, and a Skorohod integral, and a, respectively. Our aim is to rewrite the differential operators Da and a in terms of D and .File in questo prodotto:
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