Analytic continuation of the change of variable formula for smooth measures

DOI10.1134/S1064562408020269MaRDI QIDQ951715zbMATH OpenOpenAlexFDO

Authors O. G. Smolyanov, Heinrich von Weizsäcker, Olaf Wittich

Publication date 27 October 2008

Published in Doklady Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064562408020269

zbMATH Keywords

change of variable formulaFeynman-Kac formulaGirsanov-Maruyama formulalogarithmic derivativemeasure valued functionssmooth measures

Mathematics Subject Classification ID

Vector-valued set functions, measures and integrals (28B05) Measures and integration on abstract linear spaces (46G12)

Review text

From the text: We extend the Cameron-Martin-Girsanov-Maruyama-Ramer formulas to those transformations of smooth complex-valued measures on a locally convex space which are analytic continuations of transformations of smooth measures generated by (nonlinear) transformations of this space. We also show that, if the standard Feynman-Kac formula is assumed to be known, then the classical Feynman-Kac-Ito theorem turns out to be an immediate corollary of the generalized Girsanov-Maruyama formula. An important role in obtaining the results which we discuss is played by the notion of the logarithmic derivative of a function of a real argument taking values in the space of real (signed) measures.

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Cites work

• Differentiable families of measures
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• On nonlinear transformations of Gaussian measures
• Path Integrals and Quantum Anomalies
• SMOOTH PROBABILITY MEASURES AND ASSOCIATED DIFFERENTIAL OPERATORS

Cited in

(2)

• Change of variable formulas for infinite-dimensional distributions
• scientific article; zbMATH DE number 837114 (Why is no real title available?)

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