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Standardizing densities on Gaussian spaces

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  • Lanconelli, Alberto

Abstract

In the present note we investigate the problem of standardizing random variables taking values on infinite dimensional Gaussian spaces. In particular, we focus on the transformations induced on densities by the selected standardization procedure. We discover that, under certain conditions, the Wick exponentials are the key ingredients for treating this kind of problems.

Suggested Citation

  • Lanconelli, Alberto, 2018. "Standardizing densities on Gaussian spaces," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 243-250.
    • Handle: RePEc:eee:stapro:v:137:y:2018:i:c:p:243-250
    DOI: 10.1016/j.spl.2018.01.033
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    References listed on IDEAS

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    1. Da Pelo, Paolo & Lanconelli, Alberto & Stan, Aurel I., 2013. "An Itô formula for a family of stochastic integrals and related Wong–Zakai theorems," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 3183-3200.
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