CHANGE OF SCALE FORMULAS FOR A GENERALIZED CONDITIONAL WIENER INTEGRAL

DOI10.4134/BKMS.b150795zbMath1350.28015MaRDI QIDQ2828688

Il Yoo, Dong Hyun Cho

Publication date: 26 October 2016

Published in: Bulletin 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=468041

zbMATH Keywords

Wiener measure; change of scale formula; conditional Wiener integral; simple formula for conditional Wiener integral; analogue of Wiener space

Mathematics Subject Classification ID

60G15: Gaussian processes

60H05: Stochastic integrals

28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)

60G05: Foundations of stochastic processes