Chaos decomposition of multiple fractional integrals and applications

Authors
Dasgupta, A Kallianpur, G
Citation
A. Dasgupta et G. Kallianpur, Chaos decomposition of multiple fractional integrals and applications, PROB TH REL, 115(4), 1999, pp. 527-548
Citations number
8
Categorie Soggetti
Mathematics
Journal title
PROBABILITY THEORY AND RELATED FIELDS
ISSN journal
01788051 → ACNP
Volume
115
Issue
4
Year of publication
1999
Pages
527 - 548
Database
ISI
SICI code
0178-8051(199912)115:4<527:CDOMFI>2.0.ZU;2-N
Abstract
Chaos decomposition of multiple integrals with respect to fractional Browni an motion (with H > 1/2) is given. Conversely the chaos components are expr essed in terms of the multiple fractional integrals. Tensor product integra ls are introduced and series expansions in those are considered. Strong law s for fractional Brownian motion are proved as an application of multiple f ractional integrals.