Conditional expectations of Brownian functionals and their applications

DOI10.1016/0304-4149(89)90106-3zbMath0675.60068OpenAlexW2010953282MaRDI QIDQ1122236

Weijian Zhang

Publication date: 1989

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(89)90106-3

zbMATH Keywords

diffusionBrownian motionCameron-Martin formula

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (2)

The Novikov and entropy conditions of multidimensional diffusion processes with singular drift ⋮ A discrete Feynman-Kac formula

Cites Work

• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Accurate Evaluation of Stochastic Wiener Integrals with Applications to Scattering in Random Media and to Nonlinear Filtering
• Accurate Evaluation of Wiener Integrals
• On Distributions of Certain Wiener Functionals
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Conditional expectations of Brownian functionals and their applications