Chaotic Kabanov Formula for the Azéma Martingales
Chaotic Kabanov Formula for the Azéma Martingales
We derive the chaotic expansion of the product of nth-and ®rst-order multiple stochastic integrals with respect to certain normal martingales.This is done by application of the classical and quantum product formulae for multiple stochastic integrals.Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to …