On the moments of certain stochastic integrals

Larry Goldstein and Brendan McCabe

Statistics & Probability Letters, 1993, vol. 18, issue 1, 65-72

Abstract: The moments of certain stochastic integrals with respect to Brownian motion are well known. In this paper the mean and variance of some integrals involving Brownian bridges are found.

Keywords: Moments; Brownian; motion; Brownian; bridge; stochastic; integrals; Malliavin; calculus (search for similar items in EconPapers)
Date: 1993
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