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Your search keyword '"Privault, Nicolas"' showing total 2 results
2 results on '"Privault, Nicolas"'

1. Cumulant operators and moments of the Itô and Skorohod integrals.

Author

Privault, Nicolas

Subjects
*OPERATOR theory, *FUNCTIONAL analysis, *MATHEMATICAL formulas, *STOCHASTIC integrals, *MALLIAVIN calculus, *WIENER processes
Abstract

Abstract: We propose a formula for the computation of the moments of all orders of Itô and Skorohod stochastic integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. Some characterizations of Gaussian distributions for stochastic integrals are recovered as a consequence. [Copyright &y& Elsevier]

Published
2013
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2. 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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