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Generalized chaos decomposition for (non-commutative) Levy processes
 

Summary: Generalized chaos decomposition for
(non-commutative) L´evy processes
Michael Anshelevich
February 11, 2003
{B(t)} = Brownian motion, on a probability space
(, , P) with generated by {B(t)}.
Any F L2(, , P) can be written as a multiple stochas-
tic integral
F =

n=0

0
t1
0
· · ·
tn-1
0
fn(t1, t2, . . . , tk)dB(t1)dB(t2) . . . dXB(tn),
where fn L2(Rn

  

Source: Anshelevich, Michael - Department of Mathematics, Texas A&M University

 

Collections: Mathematics