Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals (Q2346981)

The author analyzes the relation between integration by parts on probability spaces and combinatorics of moments and cumulants of stochastic integrals \(\int^\infty_0 v_t dM_t\), where \((M_t)\) is a normal martingale and \((u_t)\subset L^2\) is adapted. The particular Gaussian-Wiener and Poisson cases are emphasized. The existence of a divergence-Skorokhod integral operator \(\delta\) is assumed, adjoint of some closable derivation \(\mathbb{D}\). The main result is a combinatorial formula, yielding \(\mathbb{E}(F\times\delta(u)^n)\) for any \(n\in\mathbb{N}^*\) as a weighted sum over partitions \(P_i\) of \(\{1,\dots, n\}\) of cumulant terms \(\mathbb{E}[\Gamma^u_{|P_1|}\cdots \Gamma^u_{|P_j|}\mathbf{1}]\). The cumulant operators \(\Gamma^u_k\) are defined by means of the gradient operator \(\nabla\) associated with \(\mathbb{D}\). Of course, the obtained formula contains the classical expressions relative to the Gaussian-Wiener and Poisson particular cases.