Scale transformations for present position-independent conditional expectations

DOI10.4134/JKMS.J150285MaRDI QIDQ2806543zbMATHFDO

Authors Dong Hyun Cho

Publication date 18 May 2016

Published in Journal of the Korean Mathematical Society (Search for Journal in Brave)

Full work available at URL http://www.mathnet.or.kr/mathnet/kms_content.php?no=467736

zbMATH Keywords

Wiener spaceanalytic conditional Feynman integralanalytic conditional Wiener integralconditional Wiener integralWiener integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Foundations of stochastic processes (60G05)

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Cited in

(5)

• Change of scale formulas for a generalized conditional Wiener integral
• Scale transformations for present position-dependent conditional expectations over continuous paths
• Evaluation formulas for generalized conditional Wiener integrals with drift on a function space
• Relationships between generalized Wiener integrals and conditional analytic Feynman integrals over continuous paths.
• Integral transforms on a function space with change of scales using multivariate normal distributions

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