On the moments of certain stochastic integrals

DOI10.1016/0167-7152(93)90100-WzbMATH Open0784.60055OpenAlexW2088633567MaRDI QIDQ689502FDOQ689502

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

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zbMATH Keywords

Malliavin calculusWiener processBrownian bridge

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cites Work

• Title not available (Why is that?)
• The Malliavin calculus

Cited In (9)

• Title not available (Why is that?)
• Formulae for Mixed Moments of Wiener Processes and a Stochastic Area Integral
• Divergence, convergence and moments of some integral functionals of diffusions
• Title not available (Why is that?)
• 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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