Vol. 167, No. 2, 1995

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Conditional Wiener integrals. II

Chull Park and David Lee Skoug

Vol. 167 (1995), No. 2, 293–312
Abstract

In this paper we establish various results involving conditional Wiener integrals, E(F|X), for very general conditioning functions X. Most related results in the literature, including the case when the conditioning function X is vector-valued, then follow as corollaries of this more general theory. A simple formula is given for converting these generalized conditional Wiener integrals into ordinary Wiener integrals and then this formula is used to evaluate E(F|X) for various classes of functionals F. Finally these results are used to obtain a generalized conditional form of the Cameron-Martin translation theorem.

Mathematical Subject Classification 2000
Primary: 28C20
Milestones
Received: 7 September 1991
Revised: 5 November 1992
Published: 1 February 1995
Authors
Chull Park
David Lee Skoug