Chaotic Kabanov formula for the Azéma martingales

DOI10.2307/3318511zbMATH Open1023.60046OpenAlexW2014461100MaRDI QIDQ1586572FDOQ1586572

Nicolas Privault, Josep Vives, Josép Lluis Solé

Publication date: 10 September 2003

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/23402

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zbMATH Keywords

multiple stochastic integralsproduct formulaeAzéma martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Quantum stochastic calculus (81S25)

Cited In (7)

• Anticipating integrals and martingales on the Poisson space
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Discrete chaotic calculus and covariance identities
• On the orthogonal polynomials associated with a Lévy process
• Umbral Calculus, Martingales, and Associated Polynomials
• The chaotic-representation property for a class of normal martingales
• On logarithmic Sobolev inequalities for normal martingales

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