期刊
ANNALS OF PROBABILITY
卷 45, 期 1, 页码 518-534出版社
INST MATHEMATICAL STATISTICS
DOI: 10.1214/15-AOP1015
关键词
Multiple stochastic integrals; Wiener chaos; iterated Malliavin matrix; covariance matrix; absolute continuity
资金
- NSF [DMS-12-08625]
- CNCS (Romania) [PN-II-ID-PCCE-2011-2-0015]
- ARC [DP130102408]
- Division Of Mathematical Sciences
- Direct For Mathematical & Physical Scien [1208625] Funding Source: National Science Foundation
The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a linear combination of the expectation of the determinant of its iterated Malliavin matrices. As an application, we show that the vector is not absolutely continuous if and only if its components are proportional.
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