Contribution to Book
Itô-Ramer, Skorohod and Ogawa integrals with respect to Gaussian processes and their interrelationship
Chaos Expansions, Multiple Wiener-Itô Integrals, and Their Applications
Document Type
Book Chapter
Publication Date
4-5-1994
Abstract
In this work, we first define Ogawa integral with respect to general Gaussian processes and we give sufficient conditions for Ogawa integrability. Under very mild conditions on the existence of "trace" of the Malliavin derivative of an Integrand, we relate the Ogawa integral to the Skorohod integral. In addition we define ltô-Ramer Integral in a very general setup and, using a generalization of a result of Gross, we give sufficient conditions for its existence. Under a differentiability condition, we give a relation between the Itô-Ramer and Skorohod integrals.
Disciplines
ISBN
9780849380723
Rights
© 1994 CRC Press
Citation Information
Leszek Gawarecki and Vidyadhar S. Mandrekar. "Itô-Ramer, Skorohod and Ogawa integrals with respect to Gaussian processes and their interrelationship" Chaos Expansions, Multiple Wiener-Itô Integrals, and Their Applications (1994) Available at: http://works.bepress.com/leszek-gawarecki/19/
Chapter 18. Book editors are Christian Houdre and Victor Perez-Abreu. Probability and Stochastics Series. This work was supported by ONR Grant: N00014-91-J-1087.