Abstract
We prove a moment identity on the Wiener space that extends the Skorohod isometry to arbitrary powers of the Skorohod integral on the Wiener space. As simple consequences of this identity we obtain sufficient conditions for the Gaussianity of the law of the Skorohod integral and a recurrence relation for the moments of second order Wiener integrals. We also recover and extend the sufficient conditions for the invariance of the Wiener measure under random rotations given in [3].
| Original language | English |
|---|---|
| Pages (from-to) | 116-121 |
| Journal | Electronic Communications in Probability |
| Volume | 14 |
| DOIs | |
| Publication status | Published - 12 Jan 2009 |
Research Keywords
- Malliavin calculus
- Random isometries
- Skorohod integgral
- Skorohod isometry
- Wiener measure
Publisher's Copyright Statement
- This full text is made available under CC-BY 3.0. https://creativecommons.org/licenses/by/3.0/
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