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Moments of Wiener integrals for subordinators


 
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1. Title Title of document Moments of Wiener integrals for subordinators
 
2. Creator Author's name, affiliation, country Dilip Madan; Robert H Smith School of Business; United States
 
2. Creator Author's name, affiliation, country Marc Yor; Université Pierre et Marie Curie; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Appell, Bell and Scheffer polynomials; Subordinator; Lévy measure
 
3. Subject Subject classification 60H05
 
4. Description Abstract Moments formulae for Wiener integrals of a subordinator with exponential moments are obtained in terms of the general Bell polynomials and the moments of the Lévy measure of this subordinator. We also express the Appell and Scheffer polynomials associated to a random variable in terms of the Bell polynomials.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2012-11-26
 
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/2206
 
10. Identifier Digital Object Identifier 10.1214/ECP.v17-2206
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 17
 
12. Language English=en en
 
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