Remark on the Multiple Wiener Integral.

Abstract

A short proof is given for Ito's result that the multiple Wiener integral can be written as an iterated stochastic integral, using the martingale property of Brownian motion and a simple property of symmetric tensor products of the L squared - space. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1987
Accession Number
ADA186015

Entities

People

  • R. Brigola

Organizations

  • University of North Carolina at Chapel Hill

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Brownian Motion
  • Classification
  • Differential Equations
  • Equations
  • Filtration
  • Gaussian Processes
  • Hilbert Space
  • Integrals
  • Mathematics
  • New York
  • North Carolina
  • Polynomials
  • Probability
  • Stochastic Processes
  • Universities
  • Vector Spaces

Fields of Study

  • Mathematics

Readers

  • Graph Algorithms and Convex Optimization.
  • Mathematical Modeling and Probability Theory.

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  • Space