Clark Representation for Local Times of Self-Intersection of Gaussian Integrators

Clark Representation for Local Times of Self-Intersection of Gaussian Integrators

We prove the existence of multiple local times of self-intersection for a class of Gaussian integrators generated by operators with finite-dimensional kernels,, describe its Itô–Wiener expansion and establish the Clark representation.

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Veröffentlicht in:Ukrainian mathematical journal 2019-05, Vol.70 (12), p.1829-1860
Hauptverfasser: Dorogovtsev, A. A., Izyumtseva, O. L., Salhi, N.
Format: Artikel
Sprache:eng
Schlagworte:
Algebra
Analysis
Applications of Mathematics
Geometry
Integrators
Mathematics
Mathematics and Statistics
Representations
Statistics
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Beschreibung
Zusammenfassung:We prove the existence of multiple local times of self-intersection for a class of Gaussian integrators generated by operators with finite-dimensional kernels,, describe its Itô–Wiener expansion and establish the Clark representation.
ISSN:0041-5995
1573-9376
DOI:10.1007/s11253-019-01613-y