Cumulants on the Wiener Space

Details Cumulants on the Wiener Space Cumulants on the Wiener Space

2009-10-12

arxiv.org/abs/0910.1996v1

Mathematics

Probability

18 pages

Scientific paper

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.

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