Multiple stochastic integrals: Projection and iteration

DOI10.1007/BF00542535zbMath0496.60049MaRDI QIDQ3959886

Bruce Hajek, Eugene Wong

Publication date: 1983

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

Wiener functionalsmultiple stochastic integralsmultiple stochastic integrals as iterated integralsprojecting a stochastic integral

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Related Items (4)

Generalized multiple stochastic integrals and the representation of wiener functionals ⋮ Unnamed Item ⋮ Skorohod and Stratonovich line integrals in the plane ⋮ Generalized holomorphic processes and differentiability

Cites Work

• Unnamed Item
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Multiple Wiener integral
• [https://portal.mardi4nfdi.de/wiki/Publication:4076586 Repr�sentation des martingales de carr� integrable relative aux processus de Wiener et de Poisson � n param�tres]
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• Martingales and stochastic integrals for processes with a multi-dimensional parameter
• A general likelihood-ratio formula for random signals in Gaussian noise
• Stochastic integral

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