Stochastic integrals: a combinatorial approach

Abstract

A combinatorial definition of multiple stochastic integrals is given in the setting of random measures. It is shown that some properties of such stochastic integrals, formerly known to hold in special cases, are instances of combinatorial identities on the lattice of partitions of a set. The notion of stochastic sequences of binomial type is introduced as a generalization of special polynomial sequences occuring in stochastic integration, such as Hermite, Poisson–Charlier and Kravchuk polynomials. It is shown that identities for such polynomial sets have a common origin.