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math.PR2016
A representation for the Kantorovich--Rubinstein distance on the abstract Wiener space
Georgii Riabov
A representation for the Kantorovich--Rubinstein distance between probability measures on an abstract Wiener space in terms of the extended stochastic integral (or, divergence) ope…
math.PR2016
Clark formula for local time for one class of Gaussian processes
Andrey Dorogovtsev, Olga Izyumtseva, Georgii Riabov +1
In the article we present chaotic decomposition and analog of the Clark formula for the local time of Gaussian integrators. Since the integral with respect to Gaussian integrator i…