Moments, cumulants and diagram formulae for non-linear functionals of random measures

Details Moments, cumulants and diagram formulae for non-linear functionals of random measures Moments, cumulants and diagram formulae for non-linear functionals of random measures

2008-11-11

arxiv.org/abs/0811.1726v1

Mathematics

Probability

Survey, preliminary draft. 104 pages. 30 Figures

Scientific paper

This survey provides a unified discussion of multiple integrals, moments, cumulants and diagram formulae associated with functionals of completely random measures. Our approach is combinatorial, as it is based on the algebraic formalism of partition lattices and M\"obius functions. Gaussian and Poisson measures are treated in great detail. We also present several combinatorial interpretations of some recent CLTs involving sequences of random variables belonging to a fixed Wiener chaos.

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