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Moments of Poisson stochastic integrals with random integrands

Authors :
Privault, Nicolas
Publication Year :
2012

Abstract

We compute the moment of order n of the Poisson stochastic integral of a random process u over a metric space X as a sum that runs over all partitions of {1,...,n} and involves the addition of points to Poisson configurations. This formula recovers known results in case u is a deterministic function on X.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1204.4854
Document Type :
Working Paper