The Annals of Probability

Multiple Integrals of a Homogeneous Process with Independent Increments

T. F. Lin

Full-text: Open access

Abstract

Let $X(t)$ be a homogeneous process with independent increments having the representation $X(t) = W(t) + \int_{x \neq 0} x\nu^\ast(t, dx)$, where $W(t)$ is a Wiener process with parameter $\sigma^2$ and $\nu^\ast(t, dx) = v(t, dx) - t\mu(dx)$, where $\nu(t, dx)$ is a Poisson random measure with mean measure $t\mu(dx)$. If the $m$th absolute mean of $X(t)$ is finite, then $\int^t_0 dX(t_1) \int^{t_1}_0 dX(t_2) \cdots \int^{t_m - 1}_0 dX(t_m) = \{\partial^m/\partial u^m \exp\{uW(t) + \int_{x \neq 0} \log(1 + ux)\nu^\ast(t, dx) - 1/2tu^2\sigma^2 - t \int_{x \neq 0} \lbrack ux - \log(1 + ux)\rbrack\mu(dx)\}\}_{u = 0}/m!$.

Article information

Source
Ann. Probab., Volume 9, Number 3 (1981), 529-532.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176994427

Digital Object Identifier
doi:10.1214/aop/1176994427

Mathematical Reviews number (MathSciNet)
MR614639

Zentralblatt MATH identifier
0457.60046

JSTOR
links.jstor.org

Subjects
Primary: 60J30
Secondary: 60H05: Stochastic integrals 60H20: Stochastic integral equations

Keywords
Homogeneous process independent increments Wiener process Poisson random measure stochastic integral equation

Citation

Lin, T. F. Multiple Integrals of a Homogeneous Process with Independent Increments. Ann. Probab. 9 (1981), no. 3, 529--532. doi:10.1214/aop/1176994427. https://projecteuclid.org/euclid.aop/1176994427


Export citation