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Integration-by-parts characterizations of Gaussian processes

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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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Authors and Affiliations

  1. Ruhr-Universität Bochum, IB 2/101, 44780, Bochum, Germany

    Ehsan Azmoodeh

  2. University of Vaasa, P.O. Box 700, 65101, Vaasa, Finland

    Tommi Sottinen

  3. Laboratoire Paul Painlevé, Cité Scientifique, CNRS, UMR 8524, University of Lille 1, Bât. M3, 59655, Villeneuve d’Ascq, France

    Ciprian A. Tudor

  4. ISMMA, Romanian Academy, Bucharest, Romania

    Ciprian A. Tudor

  5. University of Helsinki, P.O. Box 68, 00014, Helsinki, Finland

    Lauri Viitasaari

Authors
  1. Ehsan Azmoodeh
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  2. Tommi Sottinen
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  3. Ciprian A. Tudor
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  4. Lauri Viitasaari
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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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  • DOI: https://doi.org/10.1007/s13348-019-00278-x

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