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From Gaussian measures to isonormal Gaussian processes

  • Giovanni Peccati
  • Murad S. Taqqu
Part of the Bocconi & Springer Series book series (BS, volume 1)

Abstarct

We now return to the Gaussian framework and start this chapter by relating multiple stochastic integrals to Hermite polynomials and prove a corresponding chaotic decomposition. We then generalize our setup, by replacing Gaussian measures by isonormal Gaussian processes.

Keywords

Hilbert Space Orthonormal Basis Fractional Brownian Motion Real Hilbert Space Gaussian Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Giovanni Peccati
    • 1
  • Murad S. Taqqu
    • 2
  1. 1.Mathematics Research UnitUniversity of LuxembourgLuxembourg
  2. 2.Department of Mathematics and StatisticsBoston UniversityBoston

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