Abstract
We show that two multiple stochastic integrals I n (f n ), I m (g m ) with respect to the solution (M t )t∈R+ of a deterministic structure equation are independent if and only if two contractions of f n and g m , denoted as f n o 01 g m , fn o 11 g m vanish almost everywhere.
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Privault, N. (1999). Independence of a Class of Multiple Stochastic Integrals. In: Dalang, R.C., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 45. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8681-9_16
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DOI: https://doi.org/10.1007/978-3-0348-8681-9_16
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