Quadratic Wiener functionals and dynamics on Grassmannians

DOI10.1016/S0007-4497(01)01097-1MaRDI QIDQ5956290zbMATH OpenOpenAlexFDO

Authors Keisuke Hara, Nobuyuki Ikeda

Publication date 21 October 2002

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0007-4497(01)01097-1

zbMATH Keywords

Grassmannians Jacobi equations quadratic Wiener functionals stochastic area

Mathematics Subject Classification ID

Grassmannians, Schubert varieties, flag manifolds (14M15) Stochastic integrals (60H05)

Review text

Consider a quadratic Wiener functional \(F\) determined by a linear operator \(B\). The characteristic functional of \(F\) can be expressed as a modified determinant of the operator \(B\), cf. \textit{N. Ikeda, S. Kusuoka} and \textit{S. Manabe} [Commun. Pure Appl. Math. 47, No. 3, 329-360 (1994; Zbl 0803.60037)]. Oscillatory integrals with quadratic Wiener functionals as phase functions have similar expressions, and in the paper under review they are computed from an analog of the Van Vleck-Pauli formula, using Plücker coordinates and solutions of Jacobi equations for the expression of determinants. A generalization is given to Gaussian processes with kernels of the form \(R(s,u)=(s-u)^N/N!\), and to Ornstein-Uhlenbeck type processes related to solitons.

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