Electronic Communications in Probability

Moments of Wiener integrals for subordinators

Dilip Madan and Marc Yor

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Abstract

Moments formulae for Wiener integrals of a subordinator with exponential moments are obtained in terms of the general Bell polynomials and the moments of the Lévy measure of this subordinator. We also express the Appell and Scheffer polynomials associated to a random variable in terms of the Bell polynomials.

Article information

Source
Electron. Commun. Probab., Volume 17 (2012), paper no. 55, 8 pp.

Dates
Accepted: 26 November 2012
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465263188

Digital Object Identifier
doi:10.1214/ECP.v17-2206

Mathematical Reviews number (MathSciNet)
MR2999983

Zentralblatt MATH identifier
1329.60165

Subjects
Primary: 60H05: Stochastic integrals

Keywords
Appell Bell and Scheffer polynomials Subordinator Lévy measure

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Madan, Dilip; Yor, Marc. Moments of Wiener integrals for subordinators. Electron. Commun. Probab. 17 (2012), paper no. 55, 8 pp. doi:10.1214/ECP.v17-2206. https://projecteuclid.org/euclid.ecp/1465263188


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References

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