Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)

DOI10.1080/17442508.2019.1680677MaRDI QIDQ5086523zbMATH OpenOpenAlexFDO

Authors

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.10670

zbMATH Keywords

iterated integralschaotic representation propertyLévy processescompensated-covariation stable familiesproduct and moment formulas

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

Abstract: In this paper, we obtain explicit product and moment formulas for products of iterated integrals generated by families of square integrable martingales associated with an arbitrary L'evy process. We propose a new approach applying the theory of compensated-covariation stable families of martingales. Our main tool is a representation formula for products of elements of a compensated-covariation stable family, which enables to consider L'evy processes, with both jumps and Gaussian part.

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Cited in

(4)

• Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
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• Multiple integration with respect to Poisson and Lévy processes

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