Multiple stochastic integral expansions of arbitrary Poisson jump times functionals

We compute the Wiener-Poisson expansion of square-integrable functionals of a finite number of Poisson jump times in series of multiple Poisson stochastic integrals.

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Year of publication:	1999
Authors:	Privault, Nicolas
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 2, p. 179-188
Publisher:	Elsevier
Keywords:	Fock space Poisson process Wiener chaos

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

Persistent link: https://www.econbiz.de/10005254681