Conditional integral transforms and convolutions for a general vector-valued conditioning functions

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Abstract

We study the conditional integral transforms and conditional convolutions of functionals defined on K[0, T]. We consider a general vector-valued conditioning functions $X_k(x)=({\gamma}_1(x),{\ldots},{\gamma}_k(x))$ where ${\gamma}_j(x)$ are Gaussian random variables on the Wiener space which need not depend upon the values of x at only finitely many points in (0, T]. We then obtain several relationships and formulas for the conditioning functions that exist among conditional integral transform, conditional convolution and first variation of functionals in $E_{\sigma}$.
Original languageEnglish
Pages (from-to)573-586
Number of pages14
Journal한국수학논문집
Volume24
Issue number3
DOIs
StatePublished - Sep 2016

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