Conditional expectations of Brownian functionals and their applications
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Let \(B=\{B_ t,B_ 0=0,{\mathbb{P}}\}\) be a d-dimensional BM. In the paper under review Taylor-expansions and some other classical DE-techniques are used to give expansions for the expectations of the form \[ {\mathbb{E}}(g(\int^{t}_{0}f(s,B_ s)ds)| B_ t\in A), \] where f and g are nice functions. The paper also contains a derivation (with DE- techniques) of the well-known Cameron-Martin formula.
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Cites work
- Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
- Accurate Evaluation of Wiener Integrals
- scientific article; zbMATH DE number 3718234 (Why is no real title available?)
- scientific article; zbMATH DE number 3230499 (Why is no real title available?)
- scientific article; zbMATH DE number 3081880 (Why is no real title available?)
- On Distributions of Certain Wiener Functionals
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
Cited in
(6)- A discrete Feynman-Kac formula
- The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
- On the expectation of normalized Brownian functionals up to first hitting times
- On the conditional correlation function of Lévy's Brownian motion
- BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
- An extension of the Cameron–Martin result
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