The multiple stochastic integral

DOI10.1090/MEMO/0265zbMath0489.60064OpenAlexW1995128041MaRDI QIDQ3951338

David Douglas Engel

Publication date: 1982

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/memo/0265

zbMATH Keywords

Hermite polynomialsmultiple stochastic integralPoisson Charlier polynomials

Mathematics Subject Classification ID

Stochastic integrals (60H05) Markov processes (60J99)

Related Items (17)

Flow-driven spectral chaos (FSC) method for simulating long-time dynamics of arbitrary-order non-linear stochastic dynamical systems ⋮ Multiple Wiener integrals and nonlinear functionals of a nuclear space valued Wiener process ⋮ Distribution and moment convergence of martingales ⋮ Limit theorems for some polynomial statistics of the Poisson process ⋮ Graph-theoretic approach to stochastic integrals with Clifford algebras ⋮ Multiple stochastic integrals with dependent integrators ⋮ Stochastic integrals: A combinatorial approach ⋮ Multiple \(G\)-Itō integral in \(G\)-expectation space ⋮ Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Short-term risk management using stochastic Taylor expansions under Lévy models ⋮ Limiting theorems for sojourn measures in domains of vector-valued Gaussian random fields ⋮ Martingale representation theorem for G-Brownian motion ⋮ Limit theorems for sojourn measures in domains of vector-valued Gaussian random fields ⋮ Multiple integration with respect to Poisson and Lévy processes ⋮ On the transition of Charlier polynomials to the Hermite function ⋮ On the multiple stable integral

This page was built for publication: The multiple stochastic integral