Moments of Wiener integrals for subordinators

Dilip Madan (Robert H Smith School of Business)
Marc Yor (Université Pierre et Marie Curie)

Abstract


Moments formulae for Wiener integrals of a subordinator with exponential moments are obtained in terms of the general Bell polynomials and the moments of the Lévy measure of this subordinator. We also express the Appell and Scheffer polynomials associated to a random variable in terms of the Bell polynomials.

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Pages: 1-8

Publication Date: November 26, 2012

DOI: 10.1214/ECP.v17-2206

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