The generalized Hu-Meyer formula for random kernels

MaRDI QIDQ5961570zbMATH OpenFDO

Authors Amarjit Budhiraja, Gopinath Kallianpur

Publication date 10 November 1997

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Hu-Meyer formulamultiple Ogawa integralsmultiple Stratonovich integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05)

Review text

From the authors: A theory of Hilbert-space-valued traces and multiple integration is developed for kernels in \(L^2([0,1]^p\times \Omega)\). The multiple Ogawa and the multiple Stratonovich integrals for such kernels are introduced and sufficient conditions for their existence are obtained. The derivation of the Hu-Meyer formula connecting the multiple Ogawa and the multiple Stratonovich integrals requires the introduction of traces of random kernels. Such a derivation is obtained under appropriate conditions.

Recommendations

• The hu-meyer formula for non deterministic kernels
• A new proof of fractional Hu-Meyer formula and its applications
• scientific article; zbMATH DE number 897208
• scientific article; zbMATH DE number 721917
• Stratonovich integral and trace

Cited in

(5)

• Wick calculus for nonlinear Gaussian functionals
• Filtering with marked point process observations via Poisson chaos expansion
• The hu-meyer formula for non deterministic kernels
• scientific article; zbMATH DE number 721917 (Why is no real title available?)
• scientific article; zbMATH DE number 897208 (Why is no real title available?)

This page was built for publication: The generalized Hu-Meyer formula for random kernels

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5961570)