Transformations of Wiener measure and orthogonal expansions

DOI10.1142/S0219025716500181zbMATH Open1350.60048arXiv1310.4722OpenAlexW2962741720MaRDI QIDQ2828067FDOQ2828067

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)

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.

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

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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)

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Cited In (4)

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• The Weyl transform of a measure
• Itô-Wiener expansion for functionals of the Arratia's flow \(n\)-point motion
• Itô-Wiener expansion for stopping times

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