Stochastic integrals in abstract Wiener space

A Change of Scale Formula for Wiener Integrals of Cylinder Functions on the Abstract Wiener Space Ii

We show that for certain bounded cylinder functions of the form F(x) = μ̂((h1,x)∼, . . . ,(hn,x)∼), x ∈ B, where μ̂ :Rn → C is the Fourier-transform of the complexvalued Borel measure μ on (Rn), the Borel σ -algebra of Rn with ‖μ‖ < ∞, the analytic Feynman integral of F exists, although the analytic Feynman integral, limz→−iq Iaw(F ;z)= limz→−iq(z/2π) ∫ Rn f( →u)exp{−(z/2)| →u|2}d →u, do not alwa...

Brownian excursions, stochastic integrals, and representation of Wiener functionals

A stochastic calculus similar to Malliavin’s calculus is worked out for Brownian excursions. The analogue of the Malliavin derivative in this calculus is not a differential operator, but its adjoint is (like the Skorohod integral) an extension of the Itô integral. As an application, we obtain an expression for the integrand in the stochastic integral representation of square integrable Wiener f...

Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals

The classical combinatorial relations between moments and cumulants of random variables are generalized into covariance-moment identities for stochastic integrals and divergence operators. This approach is based on cumulant operators defined by the Malliavin calculus in a general framework that includes Itô-Wiener and Poisson stochastic integrals as well as the Lie-Wiener path space. In particu...

An Infinitesimal Approach to Stochastic Analysis on Abstract Wiener Spaces

Numerical Evaluation of Wiener Integrals

Here, Jc F[x]w(dx) denotes the Wiener integral, and / F[0(u, ■ )]v(du) denotes an integral over some Euclidean space. In [1] Cameron determined a pair (v, 0) by imposing on (1.2) the condition that the formula be exact for polynomial functionals of degree ^3. Imposing the same requirement, Vladimirov [5] constructed a family of pairs (v, 6). In this paper we shall develop a class of approximati...