Product Formula of Multiple Integrals of Levy Process

Nishant Agrawal; Yaozhong Hu; Neha Sharma

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arXiv · 1908.01225

Product Formula of Multiple Integrals of Levy Process

Nishant Agrawal·Yaozhong Hu·Neha Sharma

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Abstract

We derive a product formula for the multiple stochastic integrals with respect to Levy process. The idea is to use exponential vectors and the polarization technique which greatly simplify the argument.

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Nishant Agrawal, Yaozhong Hu, Neha Sharma. 2019-08-03. Product Formula of Multiple Integrals of Levy Process. https://arxiv.org/abs/1908.01225

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