Integration formulas for the conditional transform involving the first variation

zbMath1373.60093MaRDI QIDQ2411931

Yanyan Li

Publication date: 25 October 2017

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: http://bims.iranjournals.ir/article_649.html

zbMATH Keywords

Gaussian processfirst variationBrownian motion processconditional \(\diamond\)-productconditional transform with respect to Gaussian processsimple formula

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Related Items (5)

Generalized Cameron–Storvick theorem and its applications ⋮ Unnamed Item ⋮ A new expression for the transform with respect to the Gaussian process ⋮ CONDITIONAL INTEGRAL TRANSFORMS AND CONVOLUTIONS FOR A GENERAL VECTOR-VALUED CONDITIONING FUNCTIONS ⋮ Translation theorem for function space integral associated with Gaussian paths and applications

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