• Journal of the Chungcheong Mathematical Society
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• v.25 no.4
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• pp.691-701
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• 2012

In this note, we define the It$\hat{o}$ integral with respect to analogue of Wiener process and investigate its various properties and examples.

• The Pure and Applied Mathematics
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• v.14 no.4
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• pp.335-354
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• 2007

In this paper, we define an analogue of generalized Wiener measure and investigate its basic properties. We define (${\hat}It{o}$ type) stochastic integrals with respect to the generalized Wiener process and prove the ${\hat}It{o}$ formula. The existence and uniqueness of the solution of stochastic differential equation associated with the generalized Wiener process is proved. Finally, we generalize the linear filtering theory of Kalman-Bucy to the case of a generalized Wiener process.

• Proceedings of the Korean Statistical Society Conference
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• 2005.05a
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• pp.173-178
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• 2005

We derive an It${\hat{o}}$ formula for generalized functionals for the fractional Brownian sheet with arbitrary Hurst parameter ${H_1},\;H_2$ ${\epsilon}$ (0,1). As an application, we consider a stochastic integral representation for the local time of the fractional Brownian sheet.

• Korean Journal of Mathematics
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• v.27 no.2
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• pp.445-463
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• 2019

Let C[0, T] denote the space of continuous real-valued functions on [0, T]. On the space C[0, T], we introduce a Banach algebra of series of functions which are generalized Fourier-Stieltjes transforms of measures of finite variation on the product of simplex and Euclidean space. We evaluate analytic Feynman integrals of the functions in the Banach algebra which play significant roles in the Feynman integration theory and quantum mechanics.

• Journal of the Chungcheong Mathematical Society
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• v.19 no.4
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• pp.383-391
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• 2006

A characterization of Gaussian process with independent increments in terms of the support of covariance operator is established. We investigate the Girsanov formula for a Gaussian process with independent increments.

• Communications of the Korean Mathematical Society
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• v.35 no.3
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• pp.809-823
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• 2020

Let C[0, T] denote the space of continuous, real-valued functions on the interval [0, T] and let C₀[0, T] be the space of functions x in C[0, T] with x(0) = 0. In this paper, we introduce a Banach algebra ${\bar{\mathcal{S}}}_{{\alpha},{\beta};{\varphi}}$ on C[0, T] and its equivalent space ${\bar{\mathcal{F}}}({\mathcal{H}}) $, a space of transforms of equivalence classes of measures, which generalizes Fresnel class 𝓕(𝓗), where 𝓗 is an appropriate real separable Hilbert space of functions on [0, T]. We also investigate their properties and derive an isomorphism between ${\bar{\mathcal{S}}}_{{\alpha},{\beta};{\varphi}}$ and ${\bar{\mathcal{F}}}({\mathcal{H}}) $. When C[0, T] is replaced by C₀[0, T], ${\bar{\mathcal{F}}}({\mathcal{H}}) $ and ${\bar{\mathcal{S}}}_{{\alpha},{\beta};{\varphi}}$ reduce to 𝓕(𝓗) and Cameron-Storvick's Banach algebra 𝓢, respectively, which is the space of generalized Fourier-Stieltjes transforms of the complex-valued, finite Borel measures on L²[0, T].