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Iterated integrals with respect to Bessel processes

By Litan Yan and Jingyun Ling


Let X=(Xt)t[greater-or-equal, slanted]0 be the square of a [delta] ([greater-or-equal, slanted]0)-dimensional Bessel process starting at zero. Define iterated stochastic integrals In(t,[delta]), t[greater-or-equal, slanted]0 inductively bywith I0(t,[delta])=1 and I1(t,[delta])=Xt. Then the inequalitiesandare proved to hold for all 0Bessel processes Iterated stochastic integrals Brownian motion Martingales Ito's formula

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