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Chaotic Kabanov formula for the Azéma martingales

# metadata.dc.description.abstract[].value
We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to multiple stochastic integrals, polynomials and Wick products, that characterize the Wiener and Poisson processes.

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Bernoulli Society for Mathematical Statistics and Probability

# metadata.dc.rights[].value
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2000

# metadata.dc.source[].value
Articles publicats en revistes (Matemàtiques i Informàtica)

# metadata.dc.title[].value
Chaotic Kabanov formula for the Azéma martingales