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Integration-by-parts characterizations of Gaussian processes

Abstract

The Malliavin integration-by-parts formula is a key ingredient to develop stochastic analysis on the Wiener space. In this article we show that a suitable integration-by-parts formula also characterizes a wide class of Gaussian processes, the so-called Gaussian Fredholm processes.

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Correspondence to Ciprian A. Tudor.

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Azmoodeh, E., Sottinen, T., Tudor, C.A. et al. Integration-by-parts characterizations of Gaussian processes. Collect. Math. 72, 25–41 (2021). https://doi.org/10.1007/s13348-019-00278-x

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Keywords

  • Gaussian processes
  • Malliavin calculus
  • Stein’s lemma

Mathematics Subject Classification

  • 60G15
  • 60G12
  • 60H07