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Matematicheskie Trudy, 2012, Volume 15, Number 2, Pages 37–71 (Mi mt238)  
This article is cited in 1 scientific paper (total in 1 paper)

Constructing multiple stochastic integrals on non-Gaussian product measures

I. S. Borisovab, S. E. Khrushchevb

a Novosibirsk State University, Novosibirsk, Russia
b Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, Novosibirsk, Russia
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Abstract: We study a construction of multiple stochastic integrals of nonrandom functions with respect to the product measures generated by stochastic processes admitting representations as multiple orthogonal random series. This construction is compared with some classical schemes of constructing stochastic integrals of such a kind.
Key words: multiple stochastic integral, multiple orthogonal series, Hilbert-space-valued stochastic process, expansions of stochastic processes via orthogonal series.
Received: 03.06.2012
English version:
Siberian Advances in Mathematics, 2014, Volume 24, Issue 2, Pages 75–99
DOI: https://doi.org/10.3103/S1055134414020011
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: I. S. Borisov, S. E. Khrushchev, “Constructing multiple stochastic integrals on non-Gaussian product measures”, Mat. Tr., 15:2 (2012), 37–71; Siberian Adv. Math., 24:2 (2014), 75–99
Citation in format AMSBIB
\Bibitem{BorKhr12}
\by I.~S.~Borisov, S.~E.~Khrushchev
\paper Constructing multiple stochastic integrals on non-Gaussian product measures
\jour Mat. Tr.
\yr 2012
\vol 15
\issue 2
\pages 37--71
\mathnet{http://mi.mathnet.ru/mt238}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3074454}
\elib{https://elibrary.ru/item.asp?id=18076202}
\transl
\jour Siberian Adv. Math.
\yr 2014
\vol 24
\issue 2
\pages 75--99
\crossref{https://doi.org/10.3103/S1055134414020011}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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