Abstract
In this chapter I present the definition of multiple Wiener–Itô integrals and some of their most important properties needed in the proof of the results formulated in Chap. 8. Wiener–Itô integrals provide a useful tool to handle non-linear functionals of Gaussian processes. To define them first I introduce the notion of the white noise with some reference measure.
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References
K. Itô, Multiple Wiener integral. J. Math. Soc. Jpn. 3, 157–164 (1951)
P. Major, Multiple Wiener–Itô integrals, in Lecture Notes in Mathematics, vol 849 (Springer, Berlin, 1981)
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Major, P. (2013). Multiple Wiener–Itô Integrals and Their Properties. In: On the Estimation of Multiple Random Integrals and U-Statistics. Lecture Notes in Mathematics, vol 2079. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-37617-7_10
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DOI: https://doi.org/10.1007/978-3-642-37617-7_10
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