arXiv:1904.02890 Abstract | arXiv Analytics

arXiv:1904.02890 [math.PR]Abstract References Reviews Resources

Integration-by-Parts Characterizations of Gaussian Processes

Ehsan Azmoodeh, Tommi Sottinen, Ciprian A. Tudor, Lauri Viitasaari

Published 2019-04-05Version 1

The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes, the so-called Gaussian Fredholm processes.

Comments: Keywords: Gaussian processes, Malliavin calculus, Stein's lemma

Categories: math.PR

Subjects: 60G15, 60G12, 60H07

Keywords: gaussian processes, integration-by-parts characterizations, gaussian fredholm processes, malliavin integration-by-parts formula, wide class

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