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Cumulant operators and moments of the Itô integral

IIIUL, Room A2-25

2013-06-24 14:30 .. 15:30

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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.

Past conference highlights: Symmetries in Quantum Physics 2017; Advances in Mathematical Fluid Mechanics, Stochastic & Deterministic Methods; Quantum Integrable Systems and Geometry; Chern-Simons Gauge Theory: 20 years after; Second Workshop on Quantum Gravity and Noncommutative Geometry; Infinite Dimensional Algebras and Quantum Integrable Systems II; Stochastic Analysis in Mathematical Physics; Mathematics in Chemistry; Geometric Aspects of Integrable Systems; ICMP 2003