Formulae for mixed moments of Wiener processes and a stochastic area integral

Yoshio Komori, Guoguo Yang, Kevin Burrage

This paper deals with the expectation of monomials with respect to the stochastic area integral $A_{1,2}(t,t+h)=\int_{t}^{t+h}\int_{t}^{s}{\rm d} W_{1}(r){\rm d} W_{2}(s) -\int_{t}…