We show how moments of stochastic integrals can be expressed explicitly as expectation values of ordinary Lebesgue integrals, This result generalizes the well known relationship for the second moment. (C) 1997 American Institute of Physics.
Reduction formula for moments of stochastic integrals
CANCRINI, NICOLETTA
1997-01-01
Abstract
We show how moments of stochastic integrals can be expressed explicitly as expectation values of ordinary Lebesgue integrals, This result generalizes the well known relationship for the second moment. (C) 1997 American Institute of Physics.File in questo prodotto:
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