Moment Inequalities for Real and Vector p-Stable Stochastic Integrals.
Abstract
This paper describes moment inequalities for single and double stochastic integrals with respect to p-stable motion. The proofs are based on the author's work on the structure of single and multiple p-stable integrals and inequalities for moments of exit times of a p-stable motion in previous works. Its results do not apply directly to the situation in which the author's want to use them, in particular, because one dimensional processes are explicitly excluded there. So they offer the needed variation of their result. The author's propose an extension of the theory of stochastic integration with respect to a p-stable motion, to the case when the latter takes values in a Banach space.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 01, 1984
- Accession Number
- ADA153790
Entities
People
- W. A. Woyczynski
Organizations
- University of North Carolina at Chapel Hill