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L1-Norm of Infinitely Divisible Random Vectors and Certain Stochastic Integrals
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Michael B. Marcus, The City College of CUNY
Jan Rosinski, University of Tennessee
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Abstract
Equivalent upper and lower bounds for the L1
norm of Hilbert space valued infinitely divisible random variables are
obtained and
used to find bounds for different types of stochastic integrals.
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Full text: PDF
Pages: 15-29
Published on: January 10, 2001
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Electronic Communications in Probability. ISSN: 1083-589X |
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Context