Itô-Ramer, Skorohod and Ogawa integrals with respect to Gaussian processes and their interrelationship
Chaos Expansions, Multiple Wiener-Itô Integrals, and Their Applications
In this work, we first define Ogawa integral with respect to general Gaussian processes and we give sufficient conditions for Ogawa integrability. Under very mild conditions on the existence of "trace" of the Malliavin derivative of an Integrand, we relate the Ogawa integral to the Skorohod integral. In addition we define ltô-Ramer Integral in a very general setup and, using a generalization of a result of Gross, we give sufficient conditions for its existence. Under a differentiability condition, we give a relation between the Itô-Ramer and Skorohod integrals.
© 1994 CRC Press
Gawarecki, Leszek and Mandrekar, Vidyadhar S., "Itô-Ramer, Skorohod and Ogawa integrals with respect to Gaussian processes and their interrelationship" (1994). Mathematics Publications. 16.