Chaotic Kabanov formula for the Azéma martingales
We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaot...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2000 |
| País: | España |
| Recursos: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositório: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/23402 |
| Acesso em linha: | https://hdl.handle.net/2445/23402 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Anàlisi estocàstica Martingales (Matemàtica) Integrals estocàstiques Stochastic analysis Martingales (Mathematics) Stochastic integrals |
| Resumo: | We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to multiple stochastic integrals, polynomials and Wick products, that characterize the Wiener and Poisson processes. |
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