The determinant of the Malliavin matrix and the determinant of the covariance matrix for multiple integrals

Abstract

A well-known problem in Malliavin calculus concerns the relation between the determinant of the Malliavin matrix of a random vector and the determinant of its covariance matrix. We give an explicit relation between these two determinants for couples of random vectors of multiple integrals. In particular, if the multiple integrals are of the same order and… (More)

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