REDUCTION FORMULA FOR MOMENTS OF STOCHASTIC INTEGRALS

Authors
BERTINI L CANCRINI N
Citation
L. Bertini et N. Cancrini, REDUCTION FORMULA FOR MOMENTS OF STOCHASTIC INTEGRALS, Journal of mathematical physics, 38(9), 1997, pp. 4763-4770
Citations number
6
Categorie Soggetti
Mathematical Method, Physical Science","Physycs, Mathematical
Journal title
Journal of mathematical physics → ACNP
ISSN journal
00222488
Volume
38
Issue
9
Year of publication
1997
Pages
4763 - 4770
Database
ISI
SICI code
0022-2488(1997)38:9<4763:RFFMOS>2.0.ZU;2-F
Abstract
We show how moments of stochastic integrals can be expressed explicitl y as expectation values of ordinary Lebesgue integrals, This result ge neralizes the well known relationship for the second moment. (C) 1997 American Institute of Physics.