Evaluation of conditional Wiener integrals using Park and Skoug's formula
Bull. Korean Math. Soc. 1999 Vol. 36, No. 3, 441-450
Joo Sup Chang
Hanyang University
Abstract : In this paper we first evaluate the conditional Wiener integral of certain functionals using a Park and Skoug's formula. And we also evaluate the conditional Wiener integral $E(F \mid X_{\alpha})$ of functional F on $C[0,T]$ given by \[F(x)=\exp \; \left\{ \dint^T_0 s^{\;k} \; x(s)\;ds \right\} \] for a general conditioning function $X_{\alpha}$ on $C[0,T]$.
Keywords : Park and Skoug's formula, polygonal function, conditional Wiener integral
MSC numbers : 28C20, 46G12
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