Moments of Poisson stochastic integrals with random integrands
Probability
2012-04-24 v1 Combinatorics
Abstract
We compute the moment of order n of the Poisson stochastic integral of a random process u over a metric space X as a sum that runs over all partitions of {1,...,n} and involves the addition of points to Poisson configurations. This formula recovers known results in case u is a deterministic function on X.
Keywords
Cite
@article{arxiv.1204.4854,
title = {Moments of Poisson stochastic integrals with random integrands},
author = {Nicolas Privault},
journal= {arXiv preprint arXiv:1204.4854},
year = {2012}
}