Martingale integrals
نویسندگان
چکیده
منابع مشابه
Product of two multiple stochastic integrals with respect to a normal martingale
Let M be a normal martingale i.e. M ; M t = t, we decompose the product of two m ultiple stochastic integrals with respect to M I n fI m g as a sum of n^m terms H k. H k is equal to the integral over R k + of the function t ! I n+m,2k h k t; :, with respect to the k-tensor product of dM;M:; h k being an explicit function depending only on f and g. Our formula generalizes the well-known result c...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 1968
ISSN: 0002-9947
DOI: 10.1090/s0002-9947-1968-0226721-8