Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation

DOI10.1007/978-88-470-1679-8zbMath1231.60003OpenAlexW1422901211MaRDI QIDQ971780

Publication date: 17 May 2010

Published in: Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-88-470-1679-8

zbMATH Keywords

Möbius inversion formula central limit theorems random measure multiple stochastic integral Gaussian and Poisson multiple integral Hermite and Charlier polynomials Itô-Wiener chaos moments and cumulants partitions of a finite set

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Partitions of sets (05A18) Numerical computation of solutions to single equations (65H05) Stochastic processes (60G99) Random measures (60G57) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Software, source code, etc. for problems pertaining to probability theory (60-04)

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Uses Software

Mathematica

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