Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154730 | Statistics & Probability Letters | 2006 | 6 Pages |
Abstract
Multiple stochastic integrals of Huang and Cambanis [1978. Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Probab. 6, 585-614] with respect to a general Gaussian process X=(Xt,tâT), whose covariance function is of bounded variation on bounded subsets of TÃT, are considered. A product formula for the integrals is derived and a necessary and sufficient condition for independence of multiple Huang-Cambanis integrals is obtained. As an illustration, the results are applied to the special case of multiple integrals with respect to a persistent fractional Brownian motion.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Sébastien Chivoret, Anna Amirdjanova,