A remark on the asymptotic expansion of density function of Wiener functionals (Q999856): Difference between revisions

On an abstract Wiener space \((\Theta,H,\mu_1)\), consider the probability \(\mu_s\) with characteristic functional \(u\mapsto\exp(-s|u|_H^2/2)\) and the signed measure \[ P_s(\Gamma)=\int_{F(s,\theta)\in\Gamma}g(s,\theta)\exp(f(s,\theta)/s)\mu_s(d\theta) \] for some functionals \(F\), \(g\) and \(f\). Under some assumptions, it was proved by \textit{S.~Kusuoka} and \textit{D. W.~Stroock} [J. Funct. Anal. 99, 1--74 (1991; Zbl 0738.60054)] that \(P_s\) has a density which admits an asymptotic expansion as \(s\downarrow0\). The aim of this article is to give an explicit formula for the first term of this expansion.