Moments of Poisson stochastic integrals with random integrands

• Autorzy: Privault, N.
• Języki publikacji: EN

Abstrakty

EN

We show that the moment of order n of the Poisson stochastic integral of a random process (u_x)_x∈X over a metric space X is given by the non-linear Mecke identity [formula]. This formula recovers known results in case (u(x))_x∈X is a deterministic function on X.

Słowa kluczowe

EN

Poisson stochastic integrals; moment identities; Bell polynomials; Poisson–Skorohod integral

• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2012
• Tom: Vol. 32, Fasc. 2
• Strony: 227--239
• Opis fizyczny: Bibliogr. 14 poz.

Twórcy

autor

Privault, N.

• Nanyang Technological University, School of Physical and Mathematical Sciences, Division of Mathematical Sciences, 21 Nanyang Link, Singapore 637371,

Bibliografia

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