Independence of a class of multiple stochastic integrals

MaRDI QIDQ4263618zbMATH OpenFDO

Authors Nicolas Privault

Publication date 21 November 1999

zbMATH Keywords

independencemartingalesmultiple stochastic integrals

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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• Multiple stochastic integrals with dependent integrators
• Extended covariance identities and inequalities
• Product formula and independence criterion for multiple Huang-Cambanis integrals
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• Discrete chaotic calculus and covariance identities
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• Independence of some multiple Poisson stochastic integrals with variable-sign kernels
• On logarithmic Sobolev inequalities for normal martingales

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