CONDITIONAL TRANSFORM WITH RESPECT TO THE GAUSSIAN PROCESS INVOLVING THE CONDITIONAL CONVOLUTION PRODUCT AND THE FIRST VARIATION

- Journal title : Bulletin of the Korean Mathematical Society
- Volume 51, Issue 6, 2014, pp.1561-1577
- Publisher : The Korean Mathematical Society
- DOI : 10.4134/BKMS.2014.51.6.1561

Title & Authors

CONDITIONAL TRANSFORM WITH RESPECT TO THE GAUSSIAN PROCESS INVOLVING THE CONDITIONAL CONVOLUTION PRODUCT AND THE FIRST VARIATION

Chung, Hyun Soo; Lee, Il Yong; Chang, Seung Jun;

Chung, Hyun Soo; Lee, Il Yong; Chang, Seung Jun;

Abstract

In this paper, we define a conditional transform with respect to the Gaussian process, the conditional convolution product and the first variation of functionals via the Gaussian process. We then examine various relationships of the conditional transform with respect to the Gaussian process, the conditional convolution product and the first variation for functionals F in [5, 8].

Keywords

Brownian motion process;Wiener integral;Gaussian process;conditional convolution product;simple formula;conditional transform with respect to Gaussian process;

Language

English

Cited by

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