Analytic continuation of the change of variable formula for smooth measures (Q951715)
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scientific article; zbMATH DE number 5357843
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| English | Analytic continuation of the change of variable formula for smooth measures |
scientific article; zbMATH DE number 5357843 |
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Analytic continuation of the change of variable formula for smooth measures (English)
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27 October 2008
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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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measure valued functions
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smooth measures
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change of variable formula
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logarithmic derivative
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Feynman-Kac formula
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Girsanov-Maruyama formula
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0.8098242878913879
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0.8089434504508972
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0.767685055732727
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