Journal
JOURNAL OF FUNCTIONAL ANALYSIS
Volume 249, Issue 1, Pages 92-142Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jfa.2007.03.031
Keywords
square integrable processes; covariance measure structure; malliavin calculus; skorohod integral; bifractional Brownian motion
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We introduce the notion of covariance measure structure for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only when necessary. Our main examples are finite quadratic variation processes with stationary increments and the bifractional Brownian motion. (c) 2007 Elsevier Inc. All rights reserved.
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