Chaos decomposition of multiple fractional integrals and applications

Probability Theory and Related Fields

Volumn 115, Issue 4, 1999, Pages 527-548

  Dasgupta, A ^a   Kallianpur, G ^a  

^a University of North Carolina at Chapel Hill   (United States)

Author keywords

Chaos expansion; Fractional Brownian motion; Multiple stochastic integrals; Tensor products

Indexed keywords

EID: 0033274590     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s004400050248     Document Type: Article

References (8)

1. Dasgupta, A.: Fractional Brownian motion: its properties and applications to stochastic integration. Ph. D. Thesis, Department of Statistics, University of North Carolina at Chapel Hill (1997)
2. Dasgupta, A. Kallianpur, G.: Multiple fractional integrals, preprint (1998)
3. Duncan, T., Hu, Y. Pasik-Duncan, B.: Ito calculus for fractional Brownian motions, preprint (1998)
4. Gladyshev, E.G.: A new limit theorem for stochastic processes with Gaussian increments. Theory of Probability and its Applications, 6, 52-61 (1961)
5. Huang, S.T. Cambanis, S.: Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Probability 6, 585-614 (1978)
6. Ito, K.: Multiple Wiener integral. J. Math. Soc. Japan. 3, 157-169 (1951)
7. Johnson, G.W. Kallianpur, G.: Homogeneous chaos, p-forms, scaling and the Feynman integral. Trans. Amer. Math. Soc. 340, 503-548 (1993)
8. Kallianpur, G.: Stochastic Filtering Theory. Springer Verlag, Berlin (1980)