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Multiple Stable Stochastic Integrals: Series Representation and Absolute Continuity of Their Law

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  • Jean-Christophe Breton

    (Université des Sciences et Technologies de Lille)

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

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  • Jean-Christophe Breton, 2002. "Multiple Stable Stochastic Integrals: Series Representation and Absolute Continuity of Their Law," Journal of Theoretical Probability, Springer, vol. 15(4), pages 877-901, October.
    • Handle: RePEc:spr:jotpro:v:15:y:2002:i:4:d:10.1023_a:1020684519458
    DOI: 10.1023/A:1020684519458
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    References listed on IDEAS

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    1. Rosinski, Jan & Samorodnitsky, Gennady & Taqqu, Murad S., 1991. "Sample path properties of stochastic processes represented as multiple stable integrals," Journal of Multivariate Analysis, Elsevier, vol. 37(1), pages 115-134, April.
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    Cited by:

    1. Jean-Christophe Breton, 2005. "Absolute Continuity of Joint Laws of Multiple Stable Stochastic Integrals," Journal of Theoretical Probability, Springer, vol. 18(1), pages 43-77, January.

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