Product formula and independence criterion for multiple Huang-Cambanis integrals

Sébastien Chivoret and Anna Amirdjanova

Statistics & Probability Letters, 2006, vol. 76, issue 12, 1255-1260

Abstract: Multiple stochastic integrals of Huang and Cambanis [1978. Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Probab. 6, 585-614] with respect to a general Gaussian process , whose covariance function is of bounded variation on bounded subsets of , are considered. A product formula for the integrals is derived and a necessary and sufficient condition for independence of multiple Huang-Cambanis integrals is obtained. As an illustration, the results are applied to the special case of multiple integrals with respect to a persistent fractional Brownian motion.

Keywords: Gaussian; process; Multiple; stochastic; integral; Product; formula; Independence; Fractional; Brownian; motion (search for similar items in EconPapers)
Date: 2006
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