On the moments of certain stochastic integrals

DOI10.1016/0167-7152(93)90100-WMaRDI QIDQ689502zbMATH OpenOpenAlexFDO

Authors Larry Goldstein, Brendan McCabe

Publication date 6 April 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(93)90100-w

zbMATH Keywords

Malliavin calculusWiener processBrownian bridge

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• The Malliavin calculus

Cited in

(9)

• scientific article; zbMATH DE number 3883354 (Why is no real title available?)
• Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
• Divergence, convergence and moments of some integral functionals of diffusions
• scientific article; zbMATH DE number 3899875 (Why is no real title available?)
• Fubini's theorem for double Wiener integrals and the variance of the Brownian path
• Expectation identities from integration by parts for univariate continuous random variables with applications to high-order moments
• On moments and tail behavior of \(\nu\)-stable random variables
• Random variables with moment-matching staircase density functions
• Reduction formula for moments of stochastic integrals

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