Multiple stable stochastic integrals: Series representation and absolute continuity of their law (Q1866069): Difference between revisions
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Revision as of 05:58, 5 March 2024
scientific article
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English | Multiple stable stochastic integrals: Series representation and absolute continuity of their law |
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Multiple stable stochastic integrals: Series representation and absolute continuity of their law (English)
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3 April 2003
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The author generalizes the LePage multiple series representation of \textit{G. Samorodnitsky} and \textit{J. Szulga} [Ann. Probab. 17, No.~4, 1503-1520 (1989; Zbl 0689.60051)] for multiple \(\alpha\)-stable stochastic integrals, \(0 < \alpha < 2\), to cover the nonsymmetric case when \(\alpha < 1\). Then he adapts the stratification method of \textit{Yu. A. Davydov} [Theory Probab. Appl. 35, No.~1, 27-37 (1990); translation from Teor. Veroyatn. Primen. 35, No.~1, 51-62 (1990; Zbl 0694.60049)] to prove the absolute continuity of the law of multiple \(\alpha\)-stable integrals with respect to the Lebesgue measure.
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stable stochastic integrals
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LePage representation
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random measures
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stable processes
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stratification method
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