COMPLEX-VALUED MULTIPARAMETER STOCHASTIC INTEGRALS

Authors
UBOE J
Citation
J. Uboe, COMPLEX-VALUED MULTIPARAMETER STOCHASTIC INTEGRALS, Journal of theoretical probability, 8(3), 1995, pp. 601-624
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of theoretical probability → ACNP
ISSN journal
08949840
Volume
8
Issue
3
Year of publication
1995
Pages
601 - 624
Database
ISI
SICI code
0894-9840(1995)8:3<601:CMSI>2.0.ZU;2-S
Abstract
In this paper we will consider the properties of various stochastic in tegrals over a complex valued, two parameter Wiener process. Integrals of this type exhibit pleasant features which do not appear within the real framework. They are stable under approximation and viewed in rel ation with analytic functions, they typically satisfy an ordinary chai n rule. This in turn gives rise to several nice representation formula s.