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• W2102611768 abstract "In the framework of vector measures and the combinatorial approach to stochastic multiple integral introduced by Rota and Wallstrom [Ann. Probab. 25 (1997) 1257–1283], we present an Itô multiple integral and a Stratonovich multiple integral with respect to a Lévy process with finite moments up to a convenient order. In such a framework, the Stratonovich multiple integral is an integral with respect to a product random measure whereas the Itô multiple integral corresponds to integrate with respect to a random measure that gives zero mass to the diagonal sets. A general Hu–Meyer formula that gives the relationship between both integrals is proved. As particular cases, the classical Hu–Meyer formulas for the Brownian motion and for the Poisson process are deduced. Furthermore, a pathwise interpretation for the multiple integrals with respect to a subordinator is given." @default.
• W2102611768 created "2016-06-24" @default.
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• W2102611768 date "2010-11-01" @default.
• W2102611768 modified "2023-10-16" @default.
• W2102611768 title "Multiple Stratonovich integral and Hu–Meyer formula for Lévy processes" @default.
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• W2102611768 doi "https://doi.org/10.1214/10-aop528" @default.
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