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Stochastic transfer principle for multiple integrals with respect to Gaussian random fields with applications
 

Summary: Stochastic transfer principle for multiple integrals with respect to
Gaussian random fields with applications
Anna Amirdjanova1,2
University of Michigan
Abstract. A stochastic transfer principle, that relates multiple It^o-type integrals with respect
to a general Gaussian random field X, to multiple stochastic integrals defined with respect to a
Volterra-type field Y with respect to X of the form Yt1,...,td
=
t1
0

td
0
d
i=1 Ki(ti, si)dXs1,...,sd
, is
established. As an illustration, the result is applied to deduce the product formula for IY
n (f)IX
m (g)
and the independence criterion for IY

  

Source: Amirdjanova, Anna - Department of Statistics, University of Michigan

 

Collections: Mathematics