Brownian motion and its functionals (Q1091047)

The paper under review is an extended survey on Brownian motion and functionals associated with it. The author gives a short introduction to the phenomenon of Brownian motion and then proceeds to present an analysis of functionals of Brownian motion. The analysis leads to the integral representation and infinite dimensional rotation group associated with Brownian motion. To illustrate the power of the tools, the author shows how stochastic differential equations with white noise process as coefficient can be analysed using the integral representation. Besides, an interesting derivation of the Kac formula is provided. The second part of the paper deals with the structure of the infinite dimensional rotation group and more particularly some of the interesting sub-groups. The final part of the paper contains a short introduction to generalized functionals and causal calculus. The article will be useful to those who want to have a quick introduction to Brownian motion and the analytical tools associated with it.