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Cumulant operators and moments of the Itô and Skorohod integrals.
- Source :
-
Comptes Rendus. Mathématique . May2013, Vol. 351 Issue 9/10, p397-400. 4p. - Publication Year :
- 2013
-
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]
Details
- Language :
- English
- ISSN :
- 1631073X
- Volume :
- 351
- Issue :
- 9/10
- Database :
- Academic Search Index
- Journal :
- Comptes Rendus. Mathématique
- Publication Type :
- Academic Journal
- Accession number :
- 89137321
- Full Text :
- https://doi.org/10.1016/j.crma.2013.05.014