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Start Over Author "Privault, Nicolas" Topic malliavin calculus Topic stochastic analysis Database Academic Search Index
2 results on '"Privault, Nicolas"'

1. Superefficient drift estimation on the Wiener space

Author

Privault, Nicolas and Réveillac, Anthony

Subjects
*MALLIAVIN calculus, *WIENER processes, *FLUCTUATIONS (Physics), *STOCHASTIC analysis, *MARKOV processes
Abstract

Abstract: In the framework of a nonparametric functional estimation for the drift of a Brownian motion we construct Stein type estimators of the form which are superefficient when is a superharmonic functional on the Wiener space for the Malliavin derivative D. To cite this article: N. Privault, A. Réveillac, C. R. Acad. Sci. Paris, Ser. I 343 (2006). [Copyright &y& Elsevier]

Published
2006
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2. Non-Gaussian Malliavin calculus on real Lie algebras

Author

Franz, Uwe, Privault, Nicolas, and Schott, René

Subjects
*CALCULUS, *MATHEMATICAL analysis, *STOCHASTIC analysis, *MATHEMATICAL statistics
Abstract

The non-commutative Malliavin calculus on the Heisenberg–Weyl algebra is extended to the affine algebra. A differential calculus and a non-commutative integration by parts are established. As an application we obtain sufficient conditions for the smoothness of Wigner-type laws of non-commutative random variables with gamma or continuous binomial marginals. [Copyright &y& Elsevier]

Published
2005
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