Constructing multiple stochastic integrals on non-Gaussian product measures |
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| Authors: | I S Borisov S E Khrushchev |
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| Institution: | 1. Sobolev Institute of Mathematics, Novosibirsk, 630090, Russia
2. Novosibirsk State University, Novosibirsk, 630090, Russia
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| Abstract: | We study a construction of multiple stochastic integrals of nonrandom functions with respect to the product measures generated by stochastic processes admitting representations as multiple orthogonal random series. This construction is compared with some classical schemes of constructing stochastic integrals of such a kind. |
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