Product of two multiple stochastic integrals with respect to a normal martingale

DOI10.1016/S0304-4149(97)00101-4zbMath0946.60033MaRDI QIDQ1965901

Francesco Russo, Pierre Vallois

Publication date: 1 March 2000

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

chaos representation propertymultiple stochastic integralnormal martingale

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (5)

The chaotic-representation property for a class of normal martingales ⋮ Product and moment formulas for iterated stochastic integrals (associated with Lévy processes) ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ An anticipating calculus for square integrable pure jump Levy processes ⋮ The calculus of variations for processes with independent increments

Cites Work

• Derivatives of Wiener functionals and absolute continuity of induced measures
• Forward, backward and symmetric stochastic integration
• Decomposing the Brownian path via the range process
• Anticipating integrals for a class of martingales
• The generalized covariation process and Itô formula
• Multiple Wiener integral
• On a Generalization of a Stochastic Integral
• On Extended Stochastic Intervals
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Product of two multiple stochastic integrals with respect to a normal martingale