Krylov-Veretennikov formula for functionals from the stopped Wiener process

arXiv1511.08028MaRDI QIDQ6267753FDOQ6267753

G. V. Riabov

Publication date: 25 November 2015

Abstract: We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process $w(cdotwedgeau)$. Multiple stochastic integrals, that lead to the analogue of the It^o-Wiener expansions for such measures, are described. An analogue of the Krylov-Veretennikov formula for functionals $f=varphi(w(au))$ is obtained.

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