An extension of the divergence operator for Gaussian processes

Jorge A. León and David Nualart

Stochastic Processes and their Applications, 2005, vol. 115, issue 3, 481-492

Abstract: We extend the domain of the divergence operator [delta] for Gaussian processes in the sense of the calculus of variations. As an example, we discuss the case of the fractional Brownian motion with Hurst parameter in defined on a finite time interval. If this process does not belong to the domain of [delta], but it is in the extended domain.

Keywords: Gaussian; processes; on; Hilbert; spaces; Malliavin; calculus; Fractional; calculus; Divergence; operator; Stochastic; integral (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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