Existence of a double random integral with respect to stable measures

In this paper, the authors study a double random integral of the form [integral operator]01[integral operator]01f(s,t) M(ds) M(dt), where M(0,t) is a stable process with independent increments. Basically, the Wiener approach is used, and the existence of the above integral is established for a wide class of functions f.

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Year of publication:	1983
Authors:	Szulga, J. ; Woyczynski, W. A.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 1, p. 194-201
Publisher:	Elsevier
Keywords:	Double random integral stable random measure random quadratic form

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160592