In the framework of the combinatorial approach to stochastic integration initiated by Rota and Wallstrom, we focus on the representation of cumulants as the expectation of the diagonal measures of the associated product random measure. This setting turns out to be particularly suitable to manage cumulants of the process of variations of a càdlàg Lévy process, as well as to describe k-statistics and polykays for multiplicative random measures.
Cumulants via diagonal measures / Simone, Rosaria. - In: LECTURE NOTES OF SEMINARIO INTERDISCIPLINARE DI MATEMATICA. - ISSN 2284-0206. - XII:(2015), pp. 243-254.
Cumulants via diagonal measures
SIMONE, ROSARIA
2015
Abstract
In the framework of the combinatorial approach to stochastic integration initiated by Rota and Wallstrom, we focus on the representation of cumulants as the expectation of the diagonal measures of the associated product random measure. This setting turns out to be particularly suitable to manage cumulants of the process of variations of a càdlàg Lévy process, as well as to describe k-statistics and polykays for multiplicative random measures.File in questo prodotto:
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