• 충청수학회지
• /
• 제23권1호
• /
• pp.119-126
• /
• 2010

In this paper, we find the formula for the analogue of Wiener measure over the subset of C[0, T] bounded by the sectionally differentiable functions, which is a generalization of Park and Skoug's results in [2].

• 충청수학회지
• /
• 제19권1호
• /
• pp.61-68
• /
• 2006

In 2002, the author introduced the definition and its properties of an analogue of Wiener measure over paths. In this article, using these concepts, we will derive an operator-valued measure over paths and will investigate the properties for integral with respect to the measure. Specially, we will prove the Wiener integral formula for our integral and give some example of it.

• 충청수학회지
• /
• 제28권4호
• /
• pp.615-622
• /
• 2015

In this note, we prove the theorems in analogue of Wiener space corresponding to the second and the third arcsine laws in the concrete Wiener space [1, 2] and we show that our results are exactly same to the concrete Wiener case when the initial condition gives the Dirac measure at the origin.

• 대한수학회지
• /
• 제33권4호
• /
• pp.763-775
• /
• 1996

For $Q = [0,S] \times [0,T]$ let C(Q) denote Yeh-Wiener space, i.e., the space of all real-valued continuous functions x(s,t) on Q such that x(0,t) = x(s,0) = 0 for every (s,t) in Q. Yeh [10] defined a Gaussian measure $m_y$ on C(Q) (later modified in [13]) such that as a stochastic process ${x(s,t), (s,t) \epsilon Q}$ has mean $E[x(s,t)] = \smallint_{C(Q)} x(s,t)m_y(dx) = 0$ and covariance $E[x(s,t)x(u,\upsilon)] = min{s,u} min{t,\upsilon}$. Let $C_\omega \equiv C[0,T]$ denote the standard Wiener space on [0,T] with Wiener measure $m_\omega$. Yeh [12] introduced the concept of the conditional Wiener integral of F given X, E(F$\mid$X), and for case X(x) = x(T) obtained some very useful results including a Kac-Feynman integral equation.

• 대한수학회보
• /
• 제21권2호
• /
• pp.99-106
• /
• 1984

J. Yeh has recently introduced the concept of conditional Wiener integrals which are meant specifically the conditional expectation E$^{w}$ (Z vertical bar X) of a real or complex valued Wiener integrable functional Z conditioned by the Wiener measurable functional X on the Wiener measure space (A precise definition of the conditional Wiener integral and a brief discussion of the Wiener measure space are given in Section 2). In [3] and [4] he derived some inversion formulae for conditional Wiener integrals and evaluated some conditional Wiener integrals E$^{w}$ (Z vertical bar X) conditioned by X(x)=x(t) for a fixed t>0 and x in Wiener space. Thus E$^{w}$ (Z vertical bar X) is a real or complex valued function on R$^{1}$. In this paper we shall be concerned with the random vector X given by X(x) = (x(s$_{1}$),..,x(s$_{n}$ )) for every x in Wiener space where 0=s$_{0}$ $_{1}$<..$_{n}$ =t. In Section 3 we will evaluate some conditional Wiener integrals E$^{w}$ (Z vertical bar X) which are real or complex valued functions on the n-dimensional Euclidean space R$^{n}$ . Thus we extend Yeh's results [4] for the random variable X given by X(x)=x(t) to the random vector X given by X(x)=(x(s$_{1}$).., x(s$_{n}$ )).

• 대한수학회보
• /
• 제28권2호
• /
• pp.147-161
• /
• 1991

In this paper we define the conditional generalized Wiener measure and then express the conditional generalized Wiener integral over this new measure. In particular we consider a conditional expectation of functionals of the generalized Brownian paths under the condition that the paths pass through the given points .xi.$_{1}$, .xi.$_{2}$, .., .xi.$_{n}$ at times t$_{1}$, t$_{2}$, .., t$_{n}$, respectively.ely.

• 대한수학회논문집
• /
• 제11권1호
• /
• pp.169-174
• /
• 1996

Let $C_\alpha$ be the collection of those members of $C[0,1]$ which are H$\ddot{o}lder $\alpha$-continuous functions on [0,1]. In this paper, I will show that $\mu(C_{\frac{1}{2}) = 0$ for Wiener measure $\mu$.

• 자연과학논문집
• /
• 제11권1호
• /
• pp.1-5
• /
• 1999

• 대한수학회논문집
• /
• 제19권4호
• /
• pp.643-660
• /
• 2004

In this paper, we give a new formula between the conditional Wiener integral E(F｜X), the conditional Wiener integral of F given X, and the integral with respect to a measure-valued measure, a kind of Bartle integral. Using this formula, we give some examples of evaluation of E(F｜X).

• 호남수학학술지
• /
• 제32권3호
• /
• pp.441-451
• /
• 2010

In this paper we evaluate the analogue of Wiener integral ${\int\limits}_{C[0,t]}x(t_1){\cdots}x(t_n)d\omega_\rho(x)$ where 0 = $t_0$ < $t_1$ $\cdots$ < $t_n$ $\leq$ t and the Paley-Wiener-Zygmund integral ${\int\limits}_{C[0,t]}$ exp $({\int\limits}_0^t h(s)\tilde{d}x(s))d\omega_\rho(x)$ is the analogue of Wiener measure space.