Iterated integrals with respect to Bessel processes

Litan Yan and Jingyun Ling

Statistics & Probability Letters, 2005, vol. 74, issue 1, 93-102

Abstract: Let X=(Xt)t[greater-or-equal, slanted]0 be the square of a [delta] ([greater-or-equal, slanted]0)-dimensional Bessel process starting at zero. Define iterated stochastic integrals In(t,[delta]), t[greater-or-equal, slanted]0 inductively bywith I0(t,[delta])=1 and I1(t,[delta])=Xt. Then the inequalitiesandare proved to hold for all 0

Keywords: Bessel; processes; Iterated; stochastic; integrals; Brownian; motion; Martingales; Ito's; formula (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00163-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:74:y:2005:i:1:p:93-102

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().