Finite dimensional determinants as characteristic functions of quadratic Wiener functionals

DOI10.1214/ECP.V9-1091MaRDI QIDQ1768217zbMATH OpenFDO

Authors Keisuke Hara

Publication date 14 March 2005

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/124507

zbMATH Keywords

entire functionquadratic Wiener functionalgeneralized determinant

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Brownian motion (60J65) Stochastic analysis (60H99)

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• LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION
• Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals
• Computation of the characteristic functions of quadratic functionals of Wiener processes

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