Multiple Wiener integral

From MaRDI portal
Publication:2649571

DOI10.2969/jmsj/00310157zbMath0044.12202OpenAlexW2035925506WikidataQ96623976 ScholiaQ96623976MaRDI QIDQ2649571

Kiyosi Itô

Publication date: 1951

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

Full work available at URL: https://doi.org/10.2969/jmsj/00310157



Related Items

Stochastic boundary value problems: A white noise functional approach, The Riemann approach to stochastic integration using non-uniform meshes, Generalized stochastic integrals and the Malliavin calculus, Large deviations for a class of chaos expansions, Spaces of white noise distributions: Constructions, descriptions, applications. I, Determinantal structures in the O'Connell-Yor directed random polymer model, Multiple Wiener integrals and nonlinear functionals of a nuclear space valued Wiener process, Green formulas in anticipating stochastic calculus, Stochastic calculus with anticipating integrands, Distribution and moment convergence of martingales, White noise approach to stochastic integration, Limit theorems for some polynomial statistics of the Poisson process, Prediction of functions of a stationary process, The exponential space of an \(L^ 2\)-stochastic process with independent increments, Multiple stochastic integrals with dependent integrators, On stochastic integration by series of Wiener integrals, Approximate solutions for multiple stochastic equations with respect to semimartingales, Asymptotic theory of U-statistics, Convex rearrangements, generalized Lorenz curves, and correlated Gaussian data, Stochastic integrals: A combinatorial approach, Non-commutative chaotic expansion of Hilbert-Schmidt operators on Fock space, Brownian functionals and applications, Multiple \(G\)-Itō integral in \(G\)-expectation space, The Segal-Bargmann transform for Lévy functionals, Stratonovich's signatures of Brownian motion determine Brownian sample paths, Multiple Stratonovich integral and Hu-Meyer formula for Lévy processes, Schoenberg's theorem and unitarily invariant random arrays, On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion, Spatially homogeneous random evolutions, A general framework for waves in random media with long-range correlations, Estimation of cumulants and large deviations for certain nonlinear transformations of a stationary Gaussian process, Holomorphic functions and the Itô chaos, Dependence on the boundary condition for linear stochastic differential equations in the plane, Short-term risk management using stochastic Taylor expansions under Lévy models, Some properties of multiple Ito integrals, Martingales and stochastic integrals in the theory of continuous trading, Cauchy problem for stochastic partial differential equations arizing in nonlinear filtering theory, Euler polynomials, Bernoulli polynomials, and Lévy's stochastic area formula, Product of two multiple stochastic integrals with respect to a normal martingale, Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables, Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions, The local time of self-intersections of Brownian motions as generalized Brownian functionals, The Segal-Bargmann transform for Lévy white noise functionals associated with non-integrable Lévy processes, Martingale representation for degenerate diffusions, The Skorohod integral and the derivative operator of functionals of a cylindrical Brownian motion, Stochastic analysis for obtuse random walks, Banach random walk in the unit ball \(S\subset l^{2}\) and chaotic decomposition of \(l^{2}( S,\mathbb {P})\), Stochastic analysis of Gaussian processes via Fredholm representation, Generalized positive continuous additive functionals of multidimensional Brownian motion and their associated Revuz measures, Wiener distributions and white noise analysis, Stochastic integrals for nonprevisible, multiparameter processes, Fermionic and supersymmetric stochastic processes, Smoothness of Brownian local times and related functionals, Algebraic polynomials and moments of stochastic integrals, Central limit theorems for multiple Skorokhod integrals, Some remarks about the positivity of random variables on a Gaussian probability space, Analysis over discrete spaces, The Itô-Nisio theorem, quadratic Wiener functionals, and 1-solitons, Itô's stochastic calculus: its surprising power for applications, Martingale representation for Poisson processes with applications to minimal variance hedging, White noise analysis and nonlinear filtering problems, The square of a Gaussian Markov process and nonlinear prediction, Stochastic integrals in the plane, Poisson process Fock space representation, chaos expansion and covariance inequalities, Stochastic modeling of stock price process induced from the conjugate heat equation, Wiener analysis of nonlinear systems using Poisson-Charlier crosscorrelation, A representation for self-similar processes, Nonanticipative transformations of the two-parameter Wiener process and a Girsanov theorem, On the works of kiyosi itô and stochastic analysis, Congratulations to Professor K. Itô, Jordan decomposition and geometric multiplicity for a class of non-symmetric Ornstein-Uhlenbeck operators, Dynamic programming optimality criteria for stochastic systems in Riemannian manifolds, Limit theorems for symmetric statistics of exchangeable random variables, Random functions of Poisson type, The calculus of variations for processes with independent increments, Optimal bounds in non-Gaussian limit theorems for \(U\)-statistics, Martingale representations for functionals of Lévy processes, Identifying nonlinear covariate effects in semimartingale regression models, The Fourier transform in white noise calculus, On the convergence to the multiple Wiener-Itô integral, White noise approach to multiparameter stochastic integration, Optimal Fourier-Hermite expansion for estimation, Some remarks on a linear stochastic differential equation, Generalized Poisson functionals, Second order Poincaré inequalities and CLTs on Wiener space, Generalized holomorphic processes and differentiability, Generalized functions on infinite dimensional spaces and its applications to white noise calculus, Analysis of generalized Lévy white noise functionals, Chaos expansion for the solutions of stochastic differential equations, Heat kernel analysis on semi-infinite Lie groups, The Helson-Szegoe theorem and A//p-functions for Brownian motion and several variables, A characterization of the kernels associated with the multiple integral representation of some functionals of the Wiener process, Short time behavior of Hermite functions on compact Lie groups, Self-similar random fields, Zones of attraction of self-similar multiple integrals, The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals, Limit theorem for the statistical solution of Burgers equation, Wiener-Itô decomposition of polynomial operators formed with boson quasi-free fields, Quantum stochastic calculus, Henstock's multiple Wiener integral and Henstock's version of Hu-Meyer theorem, The Non-uniform Riemann Approach to Anticipating Stochastic Integrals, A Wong–Zakai Type Approximation for Multiple Wiener–Stratonovich Integrals, Flow-driven spectral chaos (FSC) method for simulating long-time dynamics of arbitrary-order non-linear stochastic dynamical systems, Limit theorems for conservative flows on multiple stochastic integrals, Stochastic functional linear models and Malliavin calculus, Unnamed Item, Bounds for the expected supremum of some non-stationary Gaussian processes, Explicit solution to the stochastic system of linear algebraic equations \((\alpha _{1}\boldsymbol{A}_{1} + \alpha _{2}\boldsymbol{A}_{2} +\cdots+ \alpha _{m}\boldsymbol{A}_{m})\boldsymbol{x} = \boldsymbol{b}\), Gaussian limits for subcritical chaos, On an approach to the definition of a stochastic integral with respect to a Gaussian measure, Complex Wiener-Itô chaos decomposition revisited, Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals, Alternative to beta coefficients in the context of diffusions, Unnamed Item, Theorems of Fubini Type for Iterated Stochastic Integrals, The burgers equation with a noisy force and the stochastic heat equation, Unnamed Item, Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence, On the Ogawa integrability of noncausal Wiener functionals, On theL2-Theory of product stochastic measures and multiple wiener–ito integrals, Stochastic processes possessing a skorohod integral representation, Scattering of waves from a random spherical surface—Mie scattering, Local times of self-intersection for multidimensional Brownian motion, Analysis of a splitting scheme for a class of random nonlinear partial differential equations, Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes, A formula on the Wiener–Hermite expansion, On a multiple Stratonovich-type integral for some Gaussian processes, Generalized multiple stochastic integrals and the representation of wiener functionals, Central limit theorems for \(U\)-statistics of Poisson point processes, Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review, A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS, On the fourth moment theorem for complex multiple Wiener–Itô integrals, On Martingale Chaoses, Stochastic partial differential equations driven by multi-parameter white noise of Lévy processes, Classical and generalized solutions of fractional stochastic differential equations, Calculus on Gaussian and Poisson white noises, [https://portal.mardi4nfdi.de/wiki/Publication:4076586 Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres], Multiplication formulas of orthogonal polynomials of boson field operators: Derivation based on the generalized phase-space method, Power variation of multiple fractional integrals, Hidden symmetries and equilibrium properties of multiplicative white-noise stochastic processes, Clifford algebra-valued Segal-Bargmann transform and Taylor isomorphism, Asymptotic distribution of Bernoulli quadratic forms, Unnamed Item, On the combinatorics of iterated stochastic integrals, On a stochastic Fourier coefficient: case of noncausal functions, Central limit theorems for multiple stochastic integrals and Malliavin calculus, On the eigenfunctions of the complex Ornstein-Uhlenbeck operators, Unnamed Item, Unnamed Item, Existence and uniquenesstheorems for some stochastic parabolic partial differential equations, Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\), Approximation of Multiple Stratonovich Fractional Integrals, Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging, Convergence of long-memory discrete \(k\)th order Volterra processes, Wiener chaos solutions of linear stochastic evolution equations, Functional limit theorems for the number of busy servers in a G/G/∞ queue, The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales, Linear Transformations of Wiener Integrals, ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL, White Noise Generalization of the Clark-Ocone Formula Under Change of Measure, Lévy-Ito models in finance, Rigorous application of the stochastic functional method to plane-wave scattering from a random cylindrical surface, A splitting/polynomial chaos expansion approach for stochastic evolution equations, Limit theorems for non-linear functionals of Gaussian sequences, On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations, Convergence of integrated processes of arbitrary Hermite rank, The complexity of stochastic differential equations, Mixing for stationary processes with finite-order multiple Wiener-Itô integral representation, AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES, Fourier analysis on Wiener measure space, On infinitely divisible self-similar random fields, On the representation of nonlinear systems with gaussian inputst, A new approach to the martingale representation theorem, On relation between one multiple and a corresponding one-dimensional integral with applications, On strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\), Scattering of a scalar wave from a slightly random surface, Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications, Predictable representation for time inhomogeneous Lévy processes and BSDEs, Applications of the Quadratic Covariation Differentiation Theory: Variants of the Clark-Ocone and Stroock's Formulas, Numerical solutions of stochastic PDEs driven by arbitrary type of noise, Functional Representations for Fock Superalgebras, On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients, Explicit solutions to a class of nonlinear filtering problems, On the distribution of a double stochastic integral, Multiple Integral Expansions for Nonlinear Filtering, Markov processes and random fields, ITÔ–WIENER CHAOS AND THE HODGE DECOMPOSITION ON AN ABSTRACT WIENER SPACE, A new class of generalized nonlinear functionals of white noise with application to random integral equations, A Note on Paley-Wiener-Zygmund Stochastic Integrals, REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS, [https://portal.mardi4nfdi.de/wiki/Publication:3943763 Th�or�me de traces stochastiques et fonctionnelles multiplicatives pour des champs gaussiens markoviens d'ordre p], Variation of constants formulae for forward and backward stochastic Volterra integral equations, The dialectics archetypes/types (universal categorical constructions/concrete models) in the work of Alexander Grothendieck, `Analogies,' `interpretations,' `images,' `systems,' and `models': some remarks on the history of abstract representation in the sciences since the nineteenth century, Interview with Ulf Hashagen: exhibitions and mathematical models in the nineteenth and twentieth centuries, Martingales and stochastic integrals for processes with a multi-dimensional parameter, A direct inversion formula for SFT, Unnamed Item, Multiple stochastic integrals: Projection and iteration, CLT and other limit theorems for functionals of Gaussian processes, LaSalle-type stationary oscillation principle for stochastic affine periodic systems, From Hermite Polynomials to Multifractional Processes, On stochastic set functions. II, The role of multiplicative noise in critical dynamics, Jacobi-Piñeiro Markov chains, Stochastic Analysis for Poisson Processes, Stochastic Processes in the Decades after 1950, Martingales in Japan, Encounters with Martingales in Stochastic Control, Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment, Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa, A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications, Unnamed Item, Compositions of states and observables in Fock spaces, Unnamed Item, Unnamed Item, Non-central limit theorems for functionals of random fields on hypersurfaces, On a stochastic Fourier transformation, Integrals devised for special purposes, Scattering of waves from a random cylindrical surface, Scattering of waves from a random cylindrical surface, An anticipating calculus for square integrable pure jump Levy processes, Limit theorems for quadratic forms of Lévy-driven continuous-time linear processes, Multiple sub-fractional integrals and some approximations, On LSE in regression model for long-range dependent random fields on spheres, Almost sure convergence on chaoses, Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2, Unnamed Item, Unnamed Item, COHERENT CHAOS INTEREST-RATE MODELS, [https://portal.mardi4nfdi.de/wiki/Publication:5524953 Fonctions al�atoires de deux variables presque surement a echantillons continus sur un domaine rectangulaire borne], On the predictable representation property of martingales associated with Lévy processes