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arXiv · 1706.02937

Wiener integrals with respect to Yeh processes

Jae Gil Choi
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Abstract

We define Wiener integrals with respect to Yeh processes and study their properties. In particular, we obtain the martingale property of the associated stochastic processes and give a series expansion of Wiener integrals with respect to centered Yeh process. Moreover, we derive a representation of an Yeh process in terms of a random series.

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Jae Gil Choi. 2017-06-09. Wiener integrals with respect to Yeh processes. https://arxiv.org/abs/1706.02937

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