Product Formula of Multiple Integrals of Levy Process

2019/08/03 by Agrawal, Nishant, Hu, Yaozhong, Sharma, Neha
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1908.01225

Abstract

We derive a product formula for the multiple stochastic integrals with respect to Levy process. The idea is to use exponential vectors and the polarization technique which greatly simplify the argument.

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