THE DETERMINANT OF THE ITERATED MALLIAVIN MATRIX AND THE DENSITY OF A PAIR OF MULTIPLE INTEGRALS
成果类型：
Article
署名作者：
Nualart, David; Tudor, Ciprian A.
署名单位：
University of Kansas; Universite de Lille; Bucharest University of Economic Studies
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/15-AOP1015
发表日期：
2017
页码：
518-534
关键词：
摘要：
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.