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Start Over Descriptor "Itô’s formula" Topic bessel functions Journal statistics & probability letters
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1. Iterated integrals with respect to Bessel processes

Author

Yan, Litan and Ling, Jingyun

Subjects
*STOCHASTIC analysis, *MATHEMATICAL analysis, *INTEGRALS, *BESSEL functions
Abstract

Abstract: Let be the square of a ()-dimensional Bessel process starting at zero. Define iterated stochastic integrals , inductively bywith and . Then the inequalitiesandare proved to hold for all and all stopping times , where are some positive constants depending only on the subscripts, and . [Copyright &y& Elsevier]

Published
2005
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