Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
권호 표지

EVALUATION OF CONDITIONAL WIENER INTEGRALS USING PARK AND SKOUG'S FORMULA

  • Published : 1999.08.01
Download PDF
⟨ Previous Next ⟩

Abstract

In this paper we first evaluate the conditional Wiener integral of certain functionals using a Park and Skoug's formula. and we also evaluate the conditional wiener integral E(F│$X_\alpha$) of functional F on C[0, T] given by $F(x)=exp\{{\int_0}^T s^kx(s)ds\}$ for a general conditioning function $X_\alpha$ on C[0,T].

Keywords

References

  1. Probability Breiman
  2. Stochastic Anal. Appl. v.9 Fundamental theorem of Yeh-Wiener calculus J. S. Chang;C. Park;D. L. Skoug
  3. Pacific J. Math. v.124 An evaluation of the conditional Yeh-Wiener integral K. S. Chang;J. M. Ahn;J. S. Chang
  4. Bull. Korean Math. Soc. v.21 Evaluation of some conditional Wiener integrals K. S. Chang;J. S. Chang
  5. Pacific J. Math. v.135 A simple formula for condition Wiener integrals with applications C. Park;D. L. Skoug
  6. Pacific J. Math. v.67 Conditional Wiener integral Ⅱ C. Park;D. L. Skoug
  7. Stochastic Processes Emanuel Parzen
  8. Stochastic processes an the Wiener integral J. Yeh
  9. Pacific J. Math. v.52 Inversion of conditional expectations J. Yeh
  10. Pacific J. Math. v.59 Inversion of conditional Wiener integrals J. Yeh