Complex valued multiparameter stochastic integrals (Q1900165): Difference between revisions

A complex-valued stochastic integral behaves very regular provided the integrands and integrating processes have some kind of holomorphic structure. The author studies this phenomenon in the multiparameter case. He first considers the complex Itô surface integral \(\int_R \Phi_z dW_z\) on the rectangle \(R\), where \(W_z\) is a multiparameter complex-valued Wiener process. This integral is shown to be stable under different approximation schemes for analytically adapted \(\Phi\). In contrast to the one variable theory, the class of surface integrals is not rich enough to represent all the Wiener functionals. The author obtains a nice representation formula for a complex-valued \(L_2\)- martingale involving six different orthogonal stochastic integrals. He also obtains a complex version of the stochastic Green formula. Finally, using a purely complex point of view, he gives a new proof of the stochastic Green theorem of Cairoli and Walsh.