RANDOM HERMITE POLYNOMIALS AND GIRSANOV IDENTITIES ON THE WIENER SPACE

被引：3

作者：

Privault, Nicolas ^{[1
]}

机构：

[1] Nanyang Technol Univ, Div Math Sci, Sch Phys & Math Sci, Singapore 637371, Singapore

来源：

INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS | 2010年 / 13卷 / 04期

关键词：

Malliavin calculus; Skorohod integral; Wiener measure; quasi-invariance; Girsanov identity; Euclidean motions;

D O I：

10.1142/S0219025710004218

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we derive a formula for the expectation of random Hermite polynomials in Skorohod integrals, extending classical results in the adapted case. As an application we recover, under simple conditions and with short proofs, the anticipative Girsanov identity and quasi-invariance results obtained in Ref. 6 for quasi-nilpotent shifts on the Wiener space.

引用

页码：663 / 675

页数：13

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