On independence and conditioning on Wiener space (Q908584)

Let \(X=I_ p(f)\) and \(Y=I_ q(g)\) be the multiple Wiener-Ito integrals of order p and q, respectively, where \(f=f_ p(t_ 1,...,t_ p)\), \(g=g_ q(t_ 1,...,t_ q)\) denote \(L^ 2\)-kernels on \(T^ p\) and \(T^ q\), whereas \(T=[0,t]\) for some \(t>0.\) The first result states that X and Y are weakly independent, i.e. E \(X^ mY^ n=E X^ m E Y^ n\) for \(n,m=1,2,...\), iff \[ f\otimes_ 1g=\int_{T}f(t_ 1,...,t_{p-1},\sigma)g(\sigma,t_ p,...,t_{p+q- 2})d\sigma =0 \] a.e. on \(T^{p+q-2}\). The second result states that if the H-derivatives DX and DY are orthogonal in \(L^ 2(T)\) a.s. then X and Y are also independent. Some characterizations of independence of more general \(L^ 2\) Wiener functionals are also studied, e.g. If X,Y are \(L^ 2\) random variables on the Wiener space such that \(X=\sum^{\infty}_{1}I_ n(f_ n)\), \(Y=\sum^{\infty}_{1}I_ n(g_ n)\) then \(f_ n\otimes_ 1g_ n=0\) a.e. on \(T^{m+n-2}\) implies independence of X and Y.