Transformations of Wiener measure and orthogonal expansions

DOI10.1142/S0219025716500181MaRDI QIDQ2828067zbMATH OpenOpenAlexFDO

Authors A. A. Dorogovtsev, G. V. Riabov

Publication date 24 October 2016

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.4722

zbMATH Keywords

multiple stochastic integralsWiener measurechaos expansioncoalescencestochastic flows

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Abstract: In this paper we study the structure of square integrable functionals measurable with respect to coalescing stochastic flows. The case of $L^2$ space generated by the process $eta(cdot)=w(min(au,cdot)),$ where $w$ is a Brownian motion and $au$ is the first moment when $w$ hits the given continuous function $g$ is considered. We present a new construction of multiple stochastic integrals with respect to the process $eta.$ Our approach is based on the change of measure technique. The analogue of the It^o-Wiener expansion for the space $L^2(eta)$ is constructed.

Recommendations

• Itô-Wiener expansion for functionals of the Arratia's flow \(n\)-point motion
• Multiple stochastic integrals constructed by special expansions of products of the integrating stochastic processes
• Wiener integrals, Malliavin calculus and covariance measure structure
• scientific article; zbMATH DE number 4137119
• Generalized multiple stochastic integrals and the representation of wiener functionals

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3505981 (Why is no real title available?)
• scientific article; zbMATH DE number 3549914 (Why is no real title available?)
• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• scientific article; zbMATH DE number 844027 (Why is no real title available?)
• scientific article; zbMATH DE number 5592158 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• Krylov-Veretennikov expansion for coalescing stochastic flows
• Multidimensional diffusion processes.
• Nonclassical stochastic flows and continuous products
• Stochastic Equations in Infinite Dimensions
• The Malliavin Calculus and Related Topics
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

Cited in

(4)

• Itô-Wiener expansion for functionals of the Arratia's flow \(n\)-point motion
• Itô-Wiener expansion for stopping times
• The Weyl transform of a measure
• scientific article; zbMATH DE number 1248053 (Why is no real title available?)

This page was built for publication: Transformations of Wiener measure and orthogonal expansions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2828067)