An evaluation formula for Radon-Nikodym derivatives similar to conditional expectations over paths

DOI10.1007/s40840-020-00946-3zbMath1475.28014OpenAlexW3030313859MaRDI QIDQ2227946

Dong Hyun Cho

Publication date: 16 February 2021

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-020-00946-3

zbMATH Keywords

Fourier transformBrownian motionconditional expectationRadon-Nikodym derivativetime integralanalogue of Wiener space

Mathematics Subject Classification ID

Gaussian processes (60G15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Foundations of stochastic processes (60G05)

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A generalized simple formula for evaluating Radon-Nikodym derivatives over paths

Cites Work

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