Complex Wiener-It\^o Chaos Decomposition Revisited
Probability
2019-02-26 v1
Abstract
In this article, some properties of complex Wiener-It\^o multiple integrals and complex Ornstein-Uhlenbeck operators and semigroups are obtained. Those include Stroock's formula, Hu-Meyer formula, Clark-Ocone formula and the hypercontractivity of complex Ornstein-Uhlenbeck semigroups. As an application, several expansions of the fourth moments of complex Wiener-It\^o multiple integrals are given.
Cite
@article{arxiv.1902.09111,
title = {Complex Wiener-It\^o Chaos Decomposition Revisited},
author = {Yong CHEN and Yong LIU},
journal= {arXiv preprint arXiv:1902.09111},
year = {2019}
}
Comments
22 pages