EVALUATION FORMULAS OF CONDITIONAL YEH-WIENER INTEGRALS

  • Ahn, J.M. (Department of Mathematics Education, Kon-Kuk University) ;
  • Chang, K.S. (Department of Mathematics Education, Yonsei University) ;
  • Kim, S.K. (Department of Mathematics Education, Andong University) ;
  • Yoo, I. (Department of Mathematics Education, Yonsei University)
  • Published : 1999.11.01

Abstract

In this paper, we introduce conditional Yeh-Wiener in-tegrals for generalized conditioning functions including vector-valued functions. And also we establish various evaluation formulas of conditional Yeh-Wiener integrals for generalized conditioning functions.

Keywords

References

  1. Ann. Math. v.45 Transformation of Wiener Integrals under Translations R. H. Cameron;W. T. Martin
  2. J. Korean Math. Soc. v.20 Translation Theorem for Conditional Yeh-Wiener Integrals K. S. Chang;J. M. Ahn
  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. J. Korean Math. Soc. v.20 Conditional Yeh-Wiener Integrals D. M. Chung;J. M. Ahn
  6. Stochastic Peocesses J. L. Doob
  7. Pacific J. Math. v.135 A Simple Formula for Conditional Wiener Integrals with Applications C. Park;D. L. Skoug
  8. Proc. Amer. Math. Soc. v.105 Conditional Yeh-Wiener Integrals with Vector-valued Conditioning Functions C. Park;D. L. Skoug
  9. Pacific J. Math. v.167 Conditional Wiener Integrals Ⅱ C. Park;D. L. Skoug
  10. A Graduate Course in Probability H. G. Tucker
  11. Trans. Amer. Math. Soc. v.95 Wiener Measure in a Space of Functions of Two Variables J. Yeh
  12. Trans. Amer. Math. Soc. v.107 Cameron-Martin Translation Theorems in the Wiener Space of Functions J. Yeh
  13. Stochastic Peocesses and the Wiener Integral J. Yeh
  14. Pacific J. Math. v.52 Inversion of Conditional Expectations J. Yeh
  15. Pacific J. Math. v.59 Inversion of Conditional Wiener Integrals J. Yeh
  16. Tohoku Math. J. v.30 Transformations of Conditional Wiener Integrals under Translation and Cameron-Martin Translation Theorem J. Yeh