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Article . 1994
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Proceedings of the American Mathematical Society
Article . 1994 . Peer-reviewed
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Proceedings of the American Mathematical Society
Article . 1994 . Peer-reviewed
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An Operator-Valued Yeh-Wiener Integral and a Kac-Feynman Wiener Integral Equation

An operator-valued Yeh-Wiener integral and a Kac-Feynman Wiener integral equation
Authors: Park, Chull; Skoug, David;

An Operator-Valued Yeh-Wiener Integral and a Kac-Feynman Wiener Integral Equation

Abstract

Let C [ 0 , T ] C[0,T] denote Wiener space, i.e., the space of all continuous functions η ( t ) \eta (t) on [ 0 , T ] [0,T] such that η ( 0 ) = 0 \eta (0) = 0 . For Q = [ 0 , S ] × [ 0 , T ] Q = [0,S] \times [0,T] let C ( Q ) C(Q) denote Yeh-Wiener space, i.e., the space of all R \mathbb {R} -valued continuous functions x ( s , t ) x(s,t) on Q Q such that x ( 0 , t ) = x ( s , 0 ) = 0 x(0,t) = x(s,0) = 0 for all ( s , t ) (s,t) in Q Q . For h ∈ L 2 ( Q ) h \in {L_2}(Q) let Z ( x ; s , t ) Z(x;s,t) be the Gaussian process defined by the stochastic integral \[ Z ( x ; s , t ) = ∫ 0 t ∫ 0 s h ( u , v ) d x ( u , v ) . Z(x;s,t) = \int _0^t {\int _0^s {h(u,v)dx(u,v).} } \] Then for appropriate functionals F F and ψ \psi we show that the operator-valued function space integral \[ ( I λ h ( F ) ψ ) ( η ( ⋅ ) ) = E x [ F ( λ − 1 / 2 Z ( x ; ⋅ , ⋅ ) + η ( ⋅ ) ) ψ ( λ − 1 / 2 Z ( x ; S , ⋅ ) + η ( ⋅ ) ) ] (I_\lambda ^h(F)\psi )(\eta ( \cdot )) = {E_x}[F({\lambda ^{ - 1/2}}Z(x; \cdot , \cdot ) + \eta ( \cdot ))\psi ({\lambda ^{ - 1/2}}Z(x;S, \cdot ) + \eta ( \cdot ))] \] is the unique solution of a Kac-Feynman Wiener integral equation. We also use this integral equation to evaluate various Yeh-Wiener integrals.

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Keywords

stochastic integral, operator-valued function space integral, Kac-Feynman Wiener integral equation, Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.), Wiener space, Gaussian processes, Brownian motion, Yeh-Wiener integrals, Gaussian process

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
4
Average
Average
Average
bronze
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