Translator Disclaimer
January 2017 The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals
David Nualart, Ciprian A. Tudor
Ann. Probab. 45(1): 518-534 (January 2017). DOI: 10.1214/15-AOP1015

Abstract

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.

Citation

Download Citation

David Nualart. Ciprian A. Tudor. "The determinant of the iterated Malliavin matrix and the density of a pair of multiple integrals." Ann. Probab. 45 (1) 518 - 534, January 2017. https://doi.org/10.1214/15-AOP1015

Information

Received: 1 February 2014; Revised: 1 November 2014; Published: January 2017
First available in Project Euclid: 26 January 2017

zbMATH: 1364.60071
MathSciNet: MR3601655
Digital Object Identifier: 10.1214/15-AOP1015

Subjects:
Primary: 60H07
Secondary: 60G15

Rights: Copyright © 2017 Institute of Mathematical Statistics

JOURNAL ARTICLE
17 PAGES


SHARE
Vol.45 • No. 1 • January 2017
Back to Top