Explicit formulae for time-space Brownian chaos
Work
Year: 2003
Type: article
Abstract: Let $F$ be a square-integrable and infinitely weakly differentiable functional of a standard Brownian motion $X$: we show that the $n$th integrand in the time-space chaotic decomposition of $F$ has th... more
Source: Bernoulli
Author Giovanni Peccati
Institutions Université Paris Cité, Sorbonne Université, Laboratoire de Probabilités et Modèles Aléatoires
Cites: 18
Cited by: 12
Related to: 10
FWCI: 0.89
Citation percentile (by year/subfield): 66.03
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze