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Chaotic Kabanov formula for the Azéma martingales
Privault, Nicolas; Solé, Josep Lluís; Vives, Josep
Universitat de Barcelona
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.
Anàlisi estocàstica
Martingales (Matemàtica)
Integrals estocàstiques
Stochastic analysis
Martingales (Mathematics)
Stochastic integrals
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2000
Bernoulli Society for Mathematical Statistics and Probability

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