Evaluation formulas for generalized conditional Wiener integrals with drift on a function space (Q2443719): Difference between revisions

The paper deals with evaluation formulas for some class of generalized conditional Wiener integrals. The paper is a continuation of author's previous papers published in [the author, Trans. Am. Math. Soc. 360, No. 7, 3795--3811 (2008; Zbl 1151.28017); Czech. Math. J. 59, No. 2, 431--452 (2009; Zbl 1224.28031); Int. J. Math. Anal., Ruse 7, No. 29--32, 1419--1431 (2013; Zbl 1285.28018)]. Denote by \(C[0,t] \) a generalized Wiener space of real-valued continuous functions on the interval \([0,t]\). Let \(Y:C[0,t]\times [0,t]\to \mathbb{R}\) be a stochastic process defined by \[ Y(x,s) := \int_0^s h(u) dx(u) + a(s)\tag{1} \] for \(x\in C[0,t]\), \(s\in [0,t]\), \(h\in L_2[0,t]\) with \(h\neq 0\) a.e.\ and \(a\) is a continuous function on \([0,t]\). In the paper three types of main results are given. First, a generalized Brownian motion process with drift is introduced. That drift is more general than those previously defined. Let \(w_{\varphi_{\alpha}}\) denote a probability measure on \(C[0,t]\), with \(\varphi_{\alpha}(B):= \varphi(B+\alpha)\), where \(\varphi\) is a probability measure defined on the Borel class of \(\mathbb{R}\). The second main result of the paper states that \(Y\) defined by (1) is a generalized Brownian motion process on \((C[0,t],w_{\varphi_{\alpha}})\), determined by the mean function \(a\) and the variance \(b(s)= \int_0^s (h(u))^2 du\) for \(0\leq s\leq t\). In the next part of the paper, two formulas for generalized conditional Wiener integrals on the space \((C[0,t],w_{\varphi_{\alpha}})\) are derived. In the remaining part of the paper, evolution formulas for the generalized conditional Wiener integrals of various functions on \(C[0,t]\) are derived. The obtained formulas are applications of the results received earlier. The article finishes with 11 references representative enough for the problems considered in the paper.