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A simple formula for
conditional Wiener integrals with applications
Chull Park and David Lee Skoug |
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Vol. 135 (1988), No. 2, 381–394
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Abstract |
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Yeh’s inversion formula for conditional Wiener integrals is very complicated to apply when the conditioning function is vector-valued. This paper gives a very simple formula for such integrals. In particular, we express the conditional Wiener integral directly in terms of an ordinary (i.e., nonconditional) Wiener integral. Using this new formula, it is very easy to generalize the Kac-Feynman formula and also to obtain a Cameron-Martin type translation theorem for general conditional Wiener integrals. |
Mathematical Subject Classification 2000
Primary: 28C20
Secondary: 46G12, 58C35
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Milestones
Received: 24 May 1987
Revised: 18 November 1987
Published: 1 December 1988
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Authors |
| Chull Park | |
| David Lee Skoug | |
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