Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals
نویسنده
چکیده
The classical combinatorial relations between moments and cumulants of random variables are generalized into covariance-moment identities for stochastic integrals and divergence operators. This approach is based on cumulant operators defined by the Malliavin calculus in a general framework that includes Itô-Wiener and Poisson stochastic integrals as well as the Lie-Wiener path space. In particular, this allows us to recover and extend various characterizations of Gaussian and infinitely divisible distributions.
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