Title:
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Chaotic Kabanov formula for the Azéma martingales
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Author:
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Privault, Nicolas; Solé, Josep Lluís; Vives i Santa Eulàlia, Josep, 1963-
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Other authors:
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Universitat de Barcelona |
Abstract:
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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. |
Subject(s):
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-Anàlisi estocàstica -Martingales (Matemàtica) -Integrals estocàstiques -Stochastic analysis -Martingales (Mathematics) -Stochastic integrals |
Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2000
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Document type:
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Article Article - Published version |
Published by:
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Bernoulli Society for Mathematical Statistics and Probability
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