Chaotic Kabanov formula for the Azéma martingales

DOI10.2307/3318511zbMath1023.60046OpenAlexW2014461100MaRDI QIDQ1586572

Nicolas Privault, Josep Vives, Josep Lluís Solé

Publication date: 10 September 2003

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/23402

zbMATH Keywords

multiple stochastic integralsAzéma martingalesproduct formulae

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Quantum stochastic calculus (81S25) Stochastic integrals (60H05)

Related Items (7)

Umbral Calculus, Martingales, and Associated Polynomials ⋮ Discrete chaotic calculus and covariance identities ⋮ The chaotic-representation property for a class of normal martingales ⋮ Anticipating integrals and martingales on the Poisson space ⋮ On the orthogonal polynomials associated with a Lévy process ⋮ On logarithmic Sobolev inequalities for normal martingales ⋮ MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

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