Stochastic Calculus with Respect to Gaussian Processes

• Published in: Potential analysis Vol. 50; no. 1; pp. 1 - 42
• Main Author: Lebovits, Joachim
• Format: Journal Article
• Language: English
• Published: Dordrecht Springer Netherlands 01.01.2019; Springer Nature B.V; Springer Verlag
• Subjects: Brownian motion; Calculus; Functional Analysis; Gaussian process; Geometry; Mathematics; Mathematics and Statistics; Potential Theory; Probability; Probability Theory and Stochastic Processes; Random walk theory; Traffic models; White noise; Stochastic analysis; Varying regularity processes; 60G22; Wick-Itô integrals; Itô formula; 60H40; Gaussian processes; 60H05; White noise theory; 60G15; varying regularity processes; Itô and Tanaka formulas; stochastic analysis & White noise theory; fractional and multifractional Brownian motions AMS Subject Classification: 60G15; Stochastic Analysis; Gaussian processes and local times; varying regularity processes AMS Subject Classification: 60G15; White Noise Theory
• ISSN: 0926-2601; 1572-929X
• DOI: 10.1007/s11118-017-9671-5

Stochastic integration wrt Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and develop a White Noise Theory-based anticipative stochastic calculus with...