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Chaos decomposition of multiple fractional integrals and applications
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  • Published: November 1999

Chaos decomposition of multiple fractional integrals and applications

  • A. Dasgupta1 &
  • G. Kallianpur2 

Probability Theory and Related Fields volume 115, pages 527–548 (1999)Cite this article

  • 142 Accesses

  • 27 Citations

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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.

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Authors and Affiliations

  1. Department of Statistics, University of North Carolina, Chapel Hill, NC 27599-3260, USA, e-mail: amites@email.unc.edu, , , , , , US

    A. Dasgupta

  2. Department of Statistics, University of North Carolina, Chapel Hill, , , , , , US

    G. Kallianpur

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  1. A. Dasgupta
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  2. G. Kallianpur
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Received: 22 September 1998 / Revised version: 20 April 1999

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Dasgupta, A., Kallianpur, G. Chaos decomposition of multiple fractional integrals and applications. Probab Theory Relat Fields 115, 527–548 (1999). https://doi.org/10.1007/s004400050248

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  • Issue Date: November 1999

  • DOI: https://doi.org/10.1007/s004400050248

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  • Mathematics Subject Classification (1991): 60G15, 60H05
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