Representations of conditional means

MaRDI QIDQ2761600zbMATH OpenFDO

Authors Malempati M. Rao

Publication date 7 January 2002

Published in Georgian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/49842

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zbMATH Keywords

Bochner integralGaussian processesintegral representation theorems

Mathematics Subject Classification ID

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

Review text

A unified treatment of integral representations of conditional expectations is given in terms of Bochner integrals. In particular, for Gaussian processes, the following representation theorem is derived: Let \((Y_t)_{t\geq 0}\) be a real continuous Gaussian martingale and \(X\) a further Gaussian random variable such that for all \(t_1,\dots,t_n\), \((X,Y_{t_1}, \dots,Y_{t_n})\) is Gaussian. Then there is a deterministic kernel \(K\) such that for all \(t\geq 0\), NEWLINE\[NEWLINEE(X\mid Y_s,s\leq t)= E(X\mid Y_0)+ \int^t_0 K(t,s)dY_s.NEWLINE\]

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