$L^P$ Estimates on Iterated Stochastic Integrals
نویسندگان
چکیده
منابع مشابه
On the combinatorics of iterated stochastic integrals
Abstract. This paper derives several identities for the iterated integrals of a general semimartingale. They involve powers, brackets, exponential and the stochastic exponential. Their form and derivations are combinatorial. The formulae simplify for continuous or finite-variation semimartingales, especially for counting processes. The results are motivated by chaotic representation of martinga...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1991
ISSN: 0091-1798
DOI: 10.1214/aop/1176990549