The exponential space of an L2-stochastic process with independent increments

In this note we study the Fock or Exponential space associated to a general L2-stochastic process with independent increments without using multiple Wiener integrals.

MoreLess

Year of publication:	1988
Authors:	Pérez-Abreu, Victor
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 6.1988, 6, p. 413-417
Publisher:	Elsevier
Keywords:	homogeneous chaos Fock space multiple stochastic integral exponential space Lévy-Ito decomposition

More details

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

Persistent link: https://www.econbiz.de/10005313949