@inbook{587d0921ba3a41a698d558cb20154824,
title = "Hermite Polynomials and Wiener Chaos Expansion",
abstract = "The essential result of this chapter states that the space of square integrable random variables generated by a continuous Gaussian martingale, can be decomposed into a countable sum of orthogonal (called chaos) spaces. Additionally each element in every chaos space can be written as a multiple Wiener integral. We discuss a few properties of Hermite polynomials which play a central role in the characterization of the chaos spaces.",
author = "Francesco Russo and Pierre Vallois",
note = "Publisher Copyright: {\textcopyright} 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.",
year = "2022",
month = jan,
day = "1",
doi = "10.1007/978-3-031-09446-0\_9",
language = "English",
series = "Bocconi and Springer Series",
publisher = "Springer-Verlag Italia s.r.l.",
pages = "309--332",
booktitle = "Bocconi and Springer Series",
}