Product of two multiple stochastic integrals with respect to a normal martingale (Q1965901): Difference between revisions
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English | Product of two multiple stochastic integrals with respect to a normal martingale |
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Product of two multiple stochastic integrals with respect to a normal martingale (English)
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1 March 2000
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Let \(I_n(g)\) and \(I_m(f)\) be two multiple stochastic integrals with respect to a normal martingale \(M\), where \(g\) and \(f\) are symmetric, square integrable functions on \(R^n_+\) and \(R^m_+\), respectively. The product \(I_n(g)I_m(f)\) is decomposed as a sum of \(n\land m\) terms \(H_k\) where \(H_k\) is the integral over \(R^k_+\) of the function \(t\to I_{n+m-2k}(h_k(t,.))\), with respect to the \(k\)-tensor product of \(d[M,M]\), \(h_k\) being an explicit function depending only on \(g\) and \(f\). This extends some earlier results achieved for the cases when \(M\) is a Brownian motion or a compensated Poisson process.
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normal martingale
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multiple stochastic integral
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chaos representation property
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