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Moments of Wiener integrals for subordinators. (English) Zbl 1329.60165
Summary: Moments formulae for Wiener integrals of a subordinator with exponential moments are obtained in terms of the general Bell polynomials and the moments of the Lévy measure of this subordinator. We also express the Appell and Scheffer polynomials associated to a random variable in terms of the Bell polynomials.

MSC:
60H05 Stochastic integrals
60G51 Processes with independent increments; Lévy processes
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