Product Formula of Multiple Integrals of Levy Process
Probability
2020-06-26 v2
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.
Cite
@article{arxiv.1908.01225,
title = {Product Formula of Multiple Integrals of Levy Process},
author = {Nishant Agrawal and Yaozhong Hu and Neha Sharma},
journal= {arXiv preprint arXiv:1908.01225},
year = {2020}
}
Comments
8 pages