Multiple Stable Stochastic Integrals: Series Representation and Absolute Continuity of Their Law

Jean-Christophe Breton ()
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Jean-Christophe Breton: Université des Sciences et Technologies de Lille

Journal of Theoretical Probability, 2002, vol. 15, issue 4, 877-901

Abstract: Abstract We study multiple stable stochastic integrals. We begin with a definition of these integrals using a generalization of the LePage representation as Samorodnitsky et al. in Ref. 15 but with a simplified probabilistic background and for general stable measure when 0

Keywords: Stable stochastic integral; LePage representation; random measure; α-stable; stratification method (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1020684519458

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