From Gaussian measures to isonormal Gaussian processes
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.
KeywordsHilbert Space Orthonormal Basis Fractional Brownian Motion Real Hilbert Space Gaussian Measure
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