Product formulas for multiple stochastic integrals associated with Lévy processes

• Paolo Di Tella ^[1] ; Christel Geiss ^[2] ; Alexander Steinicke ^[3]
  1. [1] Dresden University of Technology

     Dresden University of Technology

     Kreisfreie Stadt Dresden, Alemania

     
  2. [2] University of Jyväskylä

     University of Jyväskylä

     Jyväskylä, Finlandia

     
  3. [3] University of Leoben

     University of Leoben

     Leoben, Austria

     

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• Localización: Collectanea mathematica, ISSN 0010-0757, Vol. 77, Fasc. 1, 2026, págs. 51-83
• Idioma: inglés
• DOI: 10.1007/s13348-024-00456-6
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• Resumen

  • In the present paper, we obtain an explicit product formula for products of multiple integrals w.r.t. a random measure associated with a Lévy process. As a building block, we use a representation formula for products of martingales from a compensated-covariation stable family. This enables us to consider Lévy processes with both jump and Gaussian part. It is well known that for multiple integrals w.r.t. the Brownian motion such product formulas exist without further integrability conditions on the kernels. However, if a jump part is present, this is, in general, false. Therefore, we provide here sufficient conditions on the kernels which allow us to establish product formulas. As an application, we obtain explicit expressions for the expectation of products of iterated integrals, as well as for the moments and the cumulants for stochastic integrals w.r.t. the random measure. Based on these expressions, we show a central limit theorem for the long time behaviour of a class of stochastic integrals. Finally, we provide methods to calculate the number of summands in the product formula.

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