A generalization of the Buckdahn-Föllmer formula for composite transformations defined by finite dimensional substitution

DOI10.1215/KJM/1250283833MaRDI QIDQ1425554zbMATH OpenOpenAlexFDO

Authors Kouji Yano

Publication date 17 March 2004

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1215/kjm/1250283833

zbMATH Keywords

change of variables formula on Wiener spacesquadratic Wiener functionalsBuckdahn-Föllmer type transformations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Cited in

(3)

• A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals
• On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof
• Extensions of Bougerol's identity in law and the associated anticipative path transformations

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