Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

On the convergence of multiple random integrals

Auteur(s):

Code(s) de Classification MSC:

RÚsumÚ: We generalize to a multi dimensional setting the results of Jeulin-Yor (1978) and Jeulin (1980) about the (absolute and non absolute) convergence of certain Riemann integrals, involving the increments of a Brownian Motion or, more generally, of a stable LÚvy process. We relate these results to the theory of Weak Brownian Motions, to Hardy's type inequalities and to stationary Ornstein - Uhlenbeck processes.

Mots ClÚs: Brownian Motion ; Stable LÚvy Processes ; Multiple Random Integrals ; Multiple Stochastic Integrals ; Jeulin's Lemma ; Time-Space Brownian Chaos ; Hardy's type Inequalities ; Brownian Sheet ; Ornstein -Uhlenbeck processes

Date: 2000-12-07

Prépublication numéro: PMA-626