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Start Over Author "Privault, Nicolas" Topic functional analysis Topic malliavin calculus Publisher academie des science, centre mersenne

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1 results on '"Privault, Nicolas"'

1. Cumulant operators and moments of the Itô and Skorohod integrals.

Author

Privault, Nicolas

Subjects
*OPERATOR theory, *FUNCTIONAL analysis, *MATHEMATICAL formulas, *STOCHASTIC integrals, *MALLIAVIN calculus, *WIENER processes
Abstract

Abstract: We propose a formula for the computation of the moments of all orders of Itô and Skorohod stochastic integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. Some characterizations of Gaussian distributions for stochastic integrals are recovered as a consequence. [Copyright &y& Elsevier]

Published
2013
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