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arXiv · 1204.4854

Moments of Poisson stochastic integrals with random integrands

Nicolas Privault
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Abstract

We compute the moment of order n of the Poisson stochastic integral of a random process u over a metric space X as a sum that runs over all partitions of {1,...,n} and involves the addition of points to Poisson configurations. This formula recovers known results in case u is a deterministic function on X.

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Nicolas Privault. 2012-04-22. Moments of Poisson stochastic integrals with random integrands. https://arxiv.org/abs/1204.4854

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