Multiple path-valued conditional Yeh-Wiener integrals

Author:

Park Chull,Skoug David

Abstract

In this paper we establish various results involving parallel line-valued conditional Yeh-Wiener integrals of the type E ( F ( x ) | x ( s j , ) = η j ( ) E(F(x)|x(s_j,\boldsymbol {\cdot })=\eta _j(\boldsymbol {\cdot }) , j = 1 , , n ) j=1,\dotsc ,n) where 0 > s 1 > > s n 0>s_1>\cdots >s_n . We then develop a formula for converting these multiple path-valued conditional Yeh-Wiener integrals into ordinary Yeh-Wiener integrals. Next, conditional Yeh-Wiener integrals for functionals F F of the form \[ F ( x ) = exp { 0 S 0 T ϕ ( s , t , x ( s , t ) ) d t d s } F(x)=\exp \left \{\int _0^S\int _0^T\phi (s,t,x(s,t))\,dt\,ds\right \} \] are evaluated by solving an appropriate Wiener integral equation. Finally, a Cameron-Martin translation theorem is obtained for these multiple path-valued conditional Yeh-Wiener integrals.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference14 articles.

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