Chaotic Kabanov formula for the Azéma martingales
Privault, Nicolas ; Lluís Solé, Josep ; Vives, Josep
Bernoulli, Tome 6 (2000) no. 6, p. 633-651 / Harvested from Project Euclid
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We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to multiple stochastic integrals, polynomials and Wick products, that characterize the Wiener and Poisson processes.
Publié le : 2000-08-14
Classification:  Azéma martingales,  multiple stochastic integrals,  product formulae 
@article{1081449598,
     author = {Privault, Nicolas and Llu\'\i s Sol\'e, Josep and Vives, Josep},
     title = {Chaotic Kabanov formula for the Az\'ema martingales},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 633-651},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1081449598}
}

Privault, Nicolas; Lluís Solé, Josep; Vives, Josep. Chaotic Kabanov formula for the Azéma martingales. Bernoulli, Tome 6 (2000) no. 6, pp.  633-651. http://gdmltest.u-ga.fr/item/1081449598/