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Analogues of Conditional Wiener Integrals with Drift and Initial Distribution on a Function Space

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  • Dong Hyun Cho

Abstract

Let denote a generalized Wiener space, the space of real-valued continuous functions on the interval and define a stochastic process by , for and , where with a.e. and is a continuous function on . Let and be given by and , where is a partition of . In this paper we derive two simple formulas for generalized conditional Wiener integrals of functions on with the conditioning functions and which contain drift and initial distribution. As applications of these simple formulas we evaluate generalized conditional Wiener integrals of the function including the time integral on .

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  • Dong Hyun Cho, 2014. "Analogues of Conditional Wiener Integrals with Drift and Initial Distribution on a Function Space," Abstract and Applied Analysis, Hindawi, vol. 2014, pages 1-12, June.
    • Handle: RePEc:hin:jnlaaa:916423
    DOI: 10.1155/2014/916423
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