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Chaos decomposition of multiple fractional integrals and applications |
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| Authors: | A Dasgupta G Kallianpur |
| Institution: | (1) Department of Statistics, University of North Carolina, Chapel Hill, NC 27599-3260, USA, e-mail: amites@email.unc.edu, US;(2) Department of Statistics, University of North Carolina, Chapel Hill, US |
| Abstract: | Chaos decomposition of multiple integrals with respect to fractional Brownian motion (with H > 1/2) is given. Conversely the chaos components are expressed in terms of the multiple fractional integrals. Tensor product integrals are introduced and series expansions in those are considered. Strong laws for fractional Brownian motion are proved as an application of multiple fractional integrals. Received: 22 September 1998 / Revised version: 20 April 1999 |
| Keywords: | Mathematics Subject Classification (1991): 60G15 60H05 |
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