dc.contributor.author
Privault, Nicolas
dc.contributor.author
Solé, Josep Lluís
dc.contributor.author
Vives i Santa Eulàlia, Josep, 1963-
dc.date.issued
2012-04-10T10:41:52Z
dc.date.issued
2012-04-10T10:41:52Z
dc.identifier
https://hdl.handle.net/2445/23402
dc.description.abstract
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.
dc.format
application/pdf
dc.format
application/pdf
dc.publisher
Bernoulli Society for Mathematical Statistics and Probability
dc.relation
Reproducció del document publicat a: http://projecteuclid.org/euclid.bj/1081449598
dc.relation
Bernoulli, 2000, vol. 6, múm. 4), p. 633-651
dc.rights
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2000
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Matemàtiques i Informàtica)
dc.subject
Anàlisi estocàstica
dc.subject
Martingales (Matemàtica)
dc.subject
Integrals estocàstiques
dc.subject
Stochastic analysis
dc.subject
Martingales (Mathematics)
dc.subject
Stochastic integrals
dc.title
Chaotic Kabanov formula for the Azéma martingales
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
