Title of article :
Multiple Stable Stochastic Integrals: Series Representation and Absolute Continuity of Their Law
Author/Authors :
Breton، Jean-Christophe نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
We study multiple stable stochastic integrals. We begin with a definition of these integrals using a generalization of the LePage representation as Samorodnitsky et al. in Ref. 15 but with a simplified probabilistic background and for general stable measure when 0<(alpha)<1 and for symmetric stable measure when 1<=(alpha)<2. This representation allows to study the law of multiple stable integrals. We prove they are absolutely continuous using a stratification method on the Skorokhod space on which we have previously taken back the problem.
Keywords :
Stable stochastic integral , LePage representation , random measure , (alpha)-stable , stratification method
Journal title :
JOURNAL OF THEORETICAL PROBABILITY
Journal title :
JOURNAL OF THEORETICAL PROBABILITY