메뉴 건너뛰기




Volumn 42, Issue 4, 2003, Pages 671-702

A generalization of the Buckdahn-Föllmer formula for composite transformations denned by finite dimensional substitution

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0038171245     PISSN: 0023608X     EISSN: None     Source Type: Journal    
DOI: 10.1215/kjm/1250283833     Document Type: Article
Times cited : (5)

References (22)
  • 1
    • 21144483893 scopus 로고
    • A conditional approach to the anticipating Girsanov transformation
    • R. Buckdahn and H. Föllmer, A conditional approach to the anticipating Girsanov transformation, Probab. Theory Related Fields, 95 (1993), 311-330.
    • (1993) Probab. Theory Related Fields , vol.95 , pp. 311-330
    • Buckdahn, R.1    Föllmer, H.2
  • 2
    • 0000609688 scopus 로고
    • Transformation of Wiener integral under translation
    • R. H. Cameron and W. T. Martin, Transformation of Wiener integral under translation, Ann. of Math., 45 (1944), 386-396.
    • (1944) Ann. of Math. , vol.45 , pp. 386-396
    • Cameron, R.H.1    Martin, W.T.2
  • 3
    • 84966245763 scopus 로고
    • The transformation of Wiener integrals by nonlinear transformation
    • R. H. Cameron and W. T. Martin, The transformation of Wiener integrals by nonlinear transformation, Trans. Amer. Math. Soc., 66 (1949), 253-283.
    • (1949) Trans. Amer. Math. Soc. , vol.66 , pp. 253-283
    • Cameron, R.H.1    Martin, W.T.2
  • 4
    • 0037582533 scopus 로고    scopus 로고
    • On the conditional characteristic functions of second order Wiener functionals, Stochastic analysis and related topics, VI (Geilo, 1996)
    • Birkäuser
    • L. Decreusefond and A. S. Üstünel, On the conditional characteristic functions of second order Wiener functionals, Stochastic analysis and related topics, VI (Geilo, 1996), pp. 235-244, Progr. Probab., 42, Birkäuser, 1998.
    • (1998) Geilo, Progr. Probab. , vol.42 , pp. 235-244
    • Decreusefond, L.1    Üstünel, A.S.2
  • 5
    • 0000929223 scopus 로고    scopus 로고
    • Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions
    • C. Donati-Martin, H. Matsumoto and M. Yor, Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions, Publ. RIMS Kyoto Univ., 37 (2002), 295-326.
    • (2002) Publ. RIMS Kyoto Univ. , vol.37 , pp. 295-326
    • Donati-Martin, C.1    Matsumoto, H.2    Yor, M.3
  • 7
    • 0000259956 scopus 로고
    • On transforming a certain class of stochastic processes by absolutely continuous substitutions of measures
    • I. V. Girsanov, On transforming a certain class of stochastic processes by absolutely continuous substitutions of measures, Theory Probab. Appl., 5 (1960), 285-301.
    • (1960) Theory Probab. Appl. , vol.5 , pp. 285-301
    • Girsanov, I.V.1
  • 8
    • 0001597696 scopus 로고
    • Lévy's stochastic area formula and related problems, Stochastic analysis (Ithaca, NY, 1993)
    • Amer. Math. Soc.
    • N. Ikeda, S. Kusuoka and S. Manabe, Lévy's stochastic area formula and related problems, Stochastic analysis (Ithaca, NY, 1993), pp. 281-305, Proc. Sympos. Pure Math., 57, Amer. Math. Soc., 1995.
    • (1995) Proc. Sympos. Pure Math. , vol.57 , pp. 281-305
    • Ikeda, N.1    Kusuoka, S.2    Manabe, S.3
  • 9
    • 0037920538 scopus 로고
    • The Malliavin calculus and long time asymptotics of certain Wiener integrals, Miniconference on linear analysis and function spaces (Canberra, 1984)
    • Austral. Nat. Univ., Canberra
    • N. Ikeda, I. Shigekawa and S. Taniguchi, The Malliavin calculus and long time asymptotics of certain Wiener integrals, Miniconference on linear analysis and function spaces (Canberra, 1984), pp. 46-113, Proc. Centre Math. Anal. Austral. Nat. Univ., 9, Austral. Nat. Univ., Canberra, 1985.
    • (1985) Proc. Centre Math. Anal. Austral. Nat. Univ. , vol.9 , pp. 46-113
    • Ikeda, N.1    Shigekawa, I.2    Taniguchi, S.3
  • 10
    • 0003929182 scopus 로고
    • Diffusion processes and their sample paths, Second printing, corrected
    • Springer
    • K. Itô and H. P. McKean, Diffusion processes and their sample paths, Second printing, corrected, Die Grundlehren der mathematischen Wissenschaften, Band 125, Springer, 1974.
    • (1974) Die Grundlehren der Mathematischen Wissenschaften , vol.125
    • Itô, K.1    McKean, H.P.2
  • 11
    • 0000469941 scopus 로고
    • The nonlinear transformation of Gaussian measure on Banach space and its absolute continuity (I)
    • S. Kusuoka, The nonlinear transformation of Gaussian measure on Banach space and its absolute continuity (I), J. Fac. Sci., Tokyo Univ., Sect. I.A. 29 (1982), 567-590.
    • (1982) J. Fac. Sci., Tokyo Univ., Sect. I.A , vol.29 , pp. 567-590
    • Kusuoka, S.1
  • 12
    • 0021427474 scopus 로고
    • The partial Malliavin calculus and its application to nonlinear filtering
    • S. Kusuoka and D. Stroock, The partial Malliavin calculus and its application to nonlinear filtering, Stochastics, 12-2 (1984), 83-142.
    • (1984) Stochastics , vol.12 , Issue.2 , pp. 83-142
    • Kusuoka, S.1    Stroock, D.2
  • 13
    • 0009982910 scopus 로고
    • On the transition probability functions of the Markov process
    • G. Maruyama, On the transition probability functions of the Markov process, Nat. Sci. Rep. Ochanomizu Univ. 5, 1954, pp. 10-20.
    • (1954) Nat. Sci. Rep. Ochanomizu Univ. , vol.5 , pp. 10-20
    • Maruyama, G.1
  • 14
    • 0000343766 scopus 로고    scopus 로고
    • Analysis on Wiener space and anticipating stochastic calculus, Lectures on probability theory and statistics (Saint-Flour, 1995)
    • Springer
    • D. Nualart, Analysis on Wiener space and anticipating stochastic calculus, Lectures on probability theory and statistics (Saint-Flour, 1995), Lecture Notes in Math. 1690, Springer, 1998, pp. 123-227.
    • (1998) Lecture Notes in Math. , vol.1690 , pp. 123-227
    • Nualart, D.1
  • 15
    • 0001626619 scopus 로고
    • Stochastic calculus with anticipating integrands
    • D. Nualart and E. Pardoux, Stochastic calculus with anticipating integrands, Probab. Theory Related Fields, 78 (1988), 535-581.
    • (1988) Probab. Theory Related Fields , vol.78 , pp. 535-581
    • Nualart, D.1    Pardoux, E.2
  • 16
    • 0000025593 scopus 로고
    • The partial Malliavin calculus, séminaire de probabilités
    • Springer
    • D. Nualart and M. Zakai, The partial Malliavin calculus, Séminaire de Probabilités, XXIII. Lecture Notes in Math. 1372, Springer, 1989, pp. 362-381.
    • (1989) XXIII. Lecture Notes in Math. , vol.1372 , pp. 362-381
    • Nualart, D.1    Zakai, M.2
  • 17
    • 0000739144 scopus 로고
    • On nonlinear transformations of Gaussian measures
    • R. Ramer, On nonlinear transformations of Gaussian measures, J. Funct. Anal., 15 (1974), 166-187.
    • (1974) J. Funct. Anal. , vol.15 , pp. 166-187
    • Ramer, R.1
  • 18
    • 0003335754 scopus 로고
    • Trace ideals and their applications
    • Cambridge University Press
    • B. Simon, Trace Ideals and Their Applications, London Math. Soc. Lecture Note Ser. 35, Cambridge University Press, 1979.
    • (1979) London Math. Soc. Lecture Note Ser. , vol.35
    • Simon, B.1
  • 19
    • 0011045540 scopus 로고
    • Transformations of the Wiener measure under non-invertible shifts
    • A. S. Üstünel and M. Zakai, Transformations of the Wiener measure under non-invertible shifts, Probab. Theory Relat. Fields, 99 (1994), 485-500.
    • (1994) Probab. Theory Relat. Fields , vol.99 , pp. 485-500
    • Üstünel, A.S.1    Zakai, M.2
  • 21
    • 0003316208 scopus 로고
    • Lectures on stochastic differential equations and the malliavin calculus
    • Springer
    • S. Watanabe, Lectures on Stochastic Differential Equations and the Malliavin Calculus, Tata Institute of Fundamental Research 73, Springer, 1984.
    • (1984) Tata Institute of Fundamental Research , vol.73
    • Watanabe, S.1
  • 22
    • 0010956512 scopus 로고
    • When does the Ramer formula look like the Girsanov formula?
    • M. Zakai and O. Zeitouni, When does the Ramer formula look like the Girsanov formula?, Ann. Probab., 20 (1992), 1436-1440.
    • (1992) Ann. Probab. , vol.20 , pp. 1436-1440
    • Zakai, M.1    Zeitouni, O.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.