Cumulant operators and moments of the Itô and Skorohod integrals (Q357427): Difference between revisions
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Revision as of 18:59, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cumulant operators and moments of the Itô and Skorohod integrals |
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Cumulant operators and moments of the Itô and Skorohod integrals (English)
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30 July 2013
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Consider a variable \(F\) and a process \(u_t\) defined on the Wiener space. Denote by \(\delta(u)\) the Skorohod integral of \(u\). The classical duality formula of Malliavin's calculus states that the expectation \(E[F\,\delta(u)]\) is equal to \(E[\langle DF,u\rangle_H]\) for the gradient operator \(D\). The aim of this work is to obtain more generally a formula for \(E[F\,\delta(u)^n]\). This formula involves some cumulant operators which are defined in terms of \(D\).
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Malliavin calculus
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Skorohod integral
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cumulant operators
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