Timeline for Iterated Ito Integral, Gaussian Volterra Process
Current License: CC BY-SA 3.0
8 events
| when toggle format | what | by | license | comment | |
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| Jun 26, 2017 at 21:46 | answer | added | Dmitry | timeline score: 0 | |
| Mar 25, 2017 at 0:41 | answer | added | Dmitry | timeline score: 1 | |
| Jun 17, 2014 at 18:13 | answer | added | Fabrice Baudoin | timeline score: 6 | |
| Apr 10, 2013 at 13:30 | history | edited | user31090 | CC BY-SA 3.0 |
added 428 characters in body
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| Apr 10, 2013 at 13:25 | comment | added | user31090 | Hi, thanks for the reference. It seems iterated/multiple Ito integrals with constant integrand are quite well understood. It is really when the integrand depends on the upper limit that things become harder. | |
| Apr 10, 2013 at 13:23 | history | edited | user31090 | CC BY-SA 3.0 |
edited for clarity
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| Apr 9, 2013 at 20:40 | comment | added | Steve Huntsman | Your $I_n$ is basically a Hermite function, by Ito's classical results on the "multiple Wiener integral". See, e.g. section 5.4.1 of books.google.com/books?id=V2BS_Dmp0XoC | |
| Apr 9, 2013 at 19:52 | history | asked | user31090 | CC BY-SA 3.0 |