Cumulant operators and moments of the Itô integral
IIIUL, Room A2-25
2013-06-24 14:30 2013-06-24 15:30 2013-06-24 14:30 .. 15:30
Nicolas Privault (Nanyang Tech. Univ., Singapore)
We propose a formula for the computation of the moments of all orders of Itô and Skorohod stochastic integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. Some characterizations of Gaussian distributions for stochastic integrals are recovered as a consequence.