The Annals of Probability

The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals

David Nualart and Ciprian A. Tudor

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The aim of this paper is to show an estimate for the determinant of the covariance of a two-dimensional vector of multiple stochastic integrals of the same order in terms of a linear combination of the expectation of the determinant of its iterated Malliavin matrices. As an application, we show that the vector is not absolutely continuous if and only if its components are proportional.

Article information

Ann. Probab., Volume 45, Number 1 (2017), 518-534.

Received: February 2014
Revised: November 2014
First available in Project Euclid: 26 January 2017

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60G15: Gaussian processes

Multiple stochastic integrals Wiener chaos iterated Malliavin matrix covariance matrix absolute continuity


Nualart, David; Tudor, Ciprian A. The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals. Ann. Probab. 45 (2017), no. 1, 518--534. doi:10.1214/15-AOP1015.

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