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...
| Authors: | , , |
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| Format: | article |
| Status: | Published version |
| Publication Date: | 2000 |
| Country: | España |
| Institution: | Universidad de Barcelona |
| Repository: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/23402 |
| Online Access: | https://hdl.handle.net/2445/23402 |
| Access Level: | Open access |
| Keyword: | Anàlisi estocàstica Martingales (Matemàtica) Integrals estocàstiques Stochastic analysis Martingales (Mathematics) Stochastic integrals |
| Summary: | 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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