Translator Disclaimer
2012 Moments of Wiener integrals for subordinators
Dilip Madan, Marc Yor
Author Affiliations +
Electron. Commun. Probab. 17: 1-8 (2012). DOI: 10.1214/ECP.v17-2206

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.

Citation

Download Citation

Dilip Madan. Marc Yor. "Moments of Wiener integrals for subordinators." Electron. Commun. Probab. 17 1 - 8, 2012. https://doi.org/10.1214/ECP.v17-2206

Information

Accepted: 26 November 2012; Published: 2012
First available in Project Euclid: 7 June 2016

zbMATH: 1329.60165
MathSciNet: MR2999983
Digital Object Identifier: 10.1214/ECP.v17-2206

Subjects:
Primary: 60H05

JOURNAL ARTICLE
8 PAGES


SHARE
Back to Top