Abstract
Here we prove the most important result about multiple Wiener–Itô integrals, the so-called diagram formula together with some of its consequences. In the diagram formula we rewrite the product of Wiener–Itô integrals in the form of a sum of Wiener–Itô integrals and also give a formula (with the help of some diagrams) about the calculation the kernel-functions of the integrals appearing in this sum.
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References
Dobrushin, R.L.: Gaussian and their subordinated generalized fields. Ann. Probab. 7, 1–28 (1979)
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© 2014 Springer International Publishing Switzerland
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Major, P. (2014). The Proof of Itô’s Formula: The Diagram Formula and Some of Its Consequences. In: Multiple Wiener-Itô Integrals. Lecture Notes in Mathematics, vol 849. Springer, Cham. https://doi.org/10.1007/978-3-319-02642-8_5
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DOI: https://doi.org/10.1007/978-3-319-02642-8_5
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-02641-1
Online ISBN: 978-3-319-02642-8
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