Cumulants on the Wiener Space
Abstract
We combine infinite-dimensional integration by parts procedures with a recursive relation on moments (reminiscent of a formula by Barbour (1986)), and deduce explicit expressions for cumulants of functionals of a general Gaussian field. These findings yield a compact formula for cumulants on a fixed Wiener chaos, virtually replacing the usual ``graph/diagram computations'' adopted in most of the probabilistic literature.
Origin : Files produced by the author(s)
Loading...