On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
type: Item
instance of: scholarly article
title: On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
zbMATH Open document ID: 0594.60056
published in: The Annals of Probability
publication date: 1986-01-01T00:00:00Z
review text: An Itô-Wiener multiple p-stable integral \(\int...\int f(t_ 1,...,t_ n)M(dt_ 1)...M(dt_ n)\) is constructed. The paper contains a study of maximal and moment inequalities, random time change, and the space of integrable functions. In particular, the latter is completely described in case of double integrals \((n=2)\).
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G17
Mathematics Subject Classification ID: 60B11
zbMATH DE Number: 3956134
zbMATH Keywords: Itô-Wiener multiple p-stable integral
zbMATH Keywords: maximal and moment inequalities
zbMATH Keywords: random time change
author: Jan Rosiński
author: Wojbor A. Woyczyński
reviewed by: Jerzy Szulga
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176992627
OpenAlex ID: W1970850258
DOI: 10.1214/AOP/1176992627
description: scientific article; zbMATH DE number 3956134