Product formula and independence criterion for multiple Huang-Cambanis integrals (Q2494881)
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scientific article; zbMATH DE number 5038165
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| English | Product formula and independence criterion for multiple Huang-Cambanis integrals |
scientific article; zbMATH DE number 5038165 |
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Product formula and independence criterion for multiple Huang-Cambanis integrals (English)
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30 June 2006
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Multiple stochastic integrals of \textit{S. T. Huang} and \textit{S. Cambanis} [Ann. Probab. 6, 585--614 (1978; Zbl 0387.60064)] with respect to a general Gaussian process \(X=(X_t, t\in T)\), whose covariance function is of bounded variation on bounded subsets of \(T\times T\), are considered. A product formula for the integrals is derived and a necessary and sufficient condition for independence of multiple Huang-Cambanis integrals is obtained. As an illustration, the results are applied to the special case of multiple integrals with respect to a persistent fractional Brownian motion.
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Gaussian process
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multiple stochastic integral
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product formula
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independence
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fractional Brownian motion
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0.780916690826416
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0.7744776010513306
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