TY - CHAP
T1 - Itô-Ramer, Skorohod and Ogawa integrals with respect to Gaussian processes and their interrelationship
AU - Gawarecki, Leszek
AU - Mandrekar, Vidyadhar S.
PY - 1994/4/5
Y1 - 1994/4/5
N2 - In this work, we first define Ogawa integral with respect to general Gaussian processes and we give sufficient conditions for Ogawa integrability. Under very mild conditions on the existence of "trace" of the Malliavin derivative of an Integrand, we relate the Ogawa integral to the Skorohod integral. In addition we define ltô-Ramer Integral in a very general setup and, using a generalization of a result of Gross, we give sufficient conditions for its existence. Under a differentiability condition, we give a relation between the Itô-Ramer and Skorohod integrals.
AB - In this work, we first define Ogawa integral with respect to general Gaussian processes and we give sufficient conditions for Ogawa integrability. Under very mild conditions on the existence of "trace" of the Malliavin derivative of an Integrand, we relate the Ogawa integral to the Skorohod integral. In addition we define ltô-Ramer Integral in a very general setup and, using a generalization of a result of Gross, we give sufficient conditions for its existence. Under a differentiability condition, we give a relation between the Itô-Ramer and Skorohod integrals.
UR - https://digitalcommons.kettering.edu/mathematics_facultypubs/16
UR - https://www.crcpress.com/Chaos-Expansions-Multiple-Wiener-Ito-Integrals-and-Their-Applications/Houdre-Perez-Abreu/p/book/9780849380723
M3 - Chapter
BT - Chaos Expansions, Multiple Wiener-Itô Integrals, and Their Applications
ER -