Conditional expectations of Brownian functionals and their applications
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.
scientific article; zbMATH DE number 4105999