6533b82ffe1ef96bd1295a0f
RESEARCH PRODUCT
Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)
Christel GeissP. Di Tellasubject
Statistics and ProbabilityMoment (mathematics)Pure mathematicsMathematics::ProbabilitySquare-integrable functionIterated integralsIterated functionModeling and SimulationProduct (mathematics)Lévy processMathematicsdescription
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 Levy process. We...
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2019-10-22 | Stochastics |