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Moment identities for Skorohod integrals on the Wiener space and applications


 
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1. Title Title of document Moment identities for Skorohod integrals on the Wiener space and applications
 
2. Creator Author's name, affiliation, country Nicolas Privault; City University of Hong Kong
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Malliavin calculus, Skorohod integral, Skorohod isometry, Wiener measure, random isometries.
 
3. Subject Subject classification 60H07, 60G30
 
4. Description Abstract We prove a moment identity on the Wiener space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral on the Wiener space. As simple consequences of this identity we obtain sufficient conditions for the Gaussianity of the law of the Skorohod integral and a recurrence relation for the moments of second order Wiener integrals. We also recover and extend the sufficient conditions for the invariance of the Wiener measure under random rotations given in A. S. Üstünel and M. Zakai Prob. Th. Rel. Fields 103 (1995), 409-429.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) City University of Hong Kong Project No. 7002312
 
7. Date (YYYY-MM-DD) 2009-02-19
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1450
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1450
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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