Conditional expectations of Brownian functionals and their applications
type: Item
instance of: scholarly article
title: Conditional expectations of Brownian functionals and their applications
zbMATH Open document ID: 0675.60068
DOI: 10.1016/0304-4149(89)90106-3
author: Weijian Zhang
published in: Stochastic Processes and their Applications
publication date: 1989-01-01T00:00:00Z
review text: Let \(B=\{B_ t,B_ 0=0,{\mathbb{P}}\}\) be a d-dimensional BM. In the paper under review Taylor-expansions and some other classical DE-techniques are used to give expansions for the expectations of the form \[ {\mathbb{E}}(g(\int^{t}_{0}f(s,B_ s)ds)| B_ t\in A), \] where f and g are nice functions. The paper also contains a derivation (with DE- techniques) of the well-known Cameron-Martin formula.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 4105999
zbMATH Keywords: Brownian motion
zbMATH Keywords: diffusion
zbMATH Keywords: Cameron-Martin formula
reviewed by: Paavo Salminen
MaRDI profile type: Publication
full work available at URL: 0304-4149(89)90106-3
OpenAlex ID: W2010953282
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description: scientific article; zbMATH DE number 4105999