An evaluation of the conditional Yeh-Wiener integral (Q1065958): Difference between revisions

Yeh obtained the conditional Wiener integral of \(\exp \{- \int^{t}_{0}V[x(u)]du\}\) given x(t) where x is in Wiener space \(C[0,t]\) and V is a function on \({\mathbb{R}}^ 1\) satisfying certain conditions. In this paper we extend Yeh's result to the conditional Yeh- Wiener integral of \(\exp \{-\int^{t}_{0}\int^{s}_{0}V[x(u,v)]du dv\}\) given \(x(s,t)\) where x is in Yeh-Wiener space \(C_ 2(Q)\) and V is a nonnegative continuous function on \({\mathbb{R}}^ 1\) satisfying the condition \[ \int_{{\mathbb{R}}^ 1}V(w)\cdot \exp \{-w^ 2/2st\}dm_ L(w)<\infty. \]