Moments of Wiener integrals for subordinators

DOI10.1214/ECP.V17-2206zbMATH Open1329.60165OpenAlexW2094229292MaRDI QIDQ742957FDOQ742957

Marc Yor, Dilip B. Madan

Publication date: 22 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ecp.v17-2206

zbMATH Keywords

momentssubordinator[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]Bell polynomialsAppell polynomialsWiener integralsScheffer polynomials

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Cited In (3)

• Probabilistic approach to Appell polynomials
• Combinatorics of Poisson Stochastic Integrals with Random Integrands
• Conditional exponential moments for iterated Wiener integrals

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