• Title of article

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

  • Author/Authors

    Breton، Jean-Christophe نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    -876
  • From page
    877
  • To page
    0
  • 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<(alpha)<1 and for symmetric stable measure when 1<=(alpha)<2. This representation allows to study the law of multiple stable integrals. We prove they are absolutely continuous using a stratification method on the Skorokhod space on which we have previously taken back the problem.
  • Keywords
    Stable stochastic integral , LePage representation , random measure , (alpha)-stable , stratification method
  • Journal title
    JOURNAL OF THEORETICAL PROBABILITY
  • Serial Year
    2002
  • Journal title
    JOURNAL OF THEORETICAL PROBABILITY
  • Record number

    108367