Wiener integrals with respect to Yeh processes
Probability
2017-06-12 v1
Abstract
We define Wiener integrals with respect to Yeh processes and study their properties. In particular, we obtain the martingale property of the associated stochastic processes and give a series expansion of Wiener integrals with respect to centered Yeh process. Moreover, we derive a representation of an Yeh process in terms of a random series.
Keywords
Cite
@article{arxiv.1706.02937,
title = {Wiener integrals with respect to Yeh processes},
author = {Jae Gil Choi},
journal= {arXiv preprint arXiv:1706.02937},
year = {2017}
}