Stochastic integrals: A combinatorial approach
type: Item
instance of: scholarly article
title: Stochastic integrals: A combinatorial approach
zbMATH Open document ID: 0886.60046
author: Gian-Carlo Rota
author: Timothy C. Wallstrom
published in: The Annals of Probability
publication date: 1998-04-19T00:00:00Z
review text: A unified combinatorial definition of multiple stochastic integrals is given in the setting of random measures. The notion of stochastic sequence of binomial type is introduced as a generalization of special polynomial sequences appearing commonly in stochastic integration including Hermite, Poisson-Charlier and Kravchuk polynomials.
reviewed by: Gong Guanglu
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 05E05
Mathematics Subject Classification ID: 05E35
Mathematics Subject Classification ID: 11B65
Mathematics Subject Classification ID: 60G57
Mathematics Subject Classification ID: 81T18
Mathematics Subject Classification ID: 05A18
zbMATH DE Number: 1078130
zbMATH Keywords: multiple stochastic integral
zbMATH Keywords: partition of set
zbMATH Keywords: discrete and homogeneous chaos
zbMATH Keywords: orthogonal polynomial
zbMATH Keywords: symmetric function
zbMATH Keywords: Kailath-Segall formula
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1024404513
OpenAlex ID: W1990540326
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DOI: 10.1214/AOP/1024404513
description: scientific article; zbMATH DE number 1078130