An extension of the divergence operator for Gaussian processes

We extend the domain of the divergence operator [delta] for Gaussian processes in the sense of the calculus of variations. As an example, we discuss the case of the fractional Brownian motion with Hurst parameter in defined on a finite time interval. If this process does not belong to the domain of [delta], but it is in the extended domain.

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Year of publication:	2005
Authors:	León, Jorge A. ; Nualart, David
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 3, p. 481-492
Publisher:	Elsevier
Keywords:	Gaussian processes on Hilbert spaces Malliavin calculus Fractional calculus Divergence operator Stochastic integral

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875345