Itô Formula for Generalized Functionals of Brownian Bridge

Yuh-Jia Lee () and Chen-Chih Huang ()
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Yuh-Jia Lee: National University of Kaohsiung, Department of Applied Mathematics
Chen-Chih Huang: National Cheng-Kung University, Department of Mathematics

A chapter in Proceedings of the International Conference on Stochastic Analysis and Applications, 2004, pp 107-127 from Springer

Abstract: Abstract Employing the calculus on the classical Wiener space (C′, C) we represent the Brownian motion {B(t)} by B(t, x) = (x, α t) for x ∈ C, where (·, ·) is the C−C * pairing and α t is a function in C* such that α t (s) = min{t, s} for t ∈ [0, 1] and for s

Keywords: Itô formula; white noise; Brownian motion; generalized functions; AMS-classisfication (2000); Primary 60J65; 60H40; Secondary 46G12; 26E15 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/978-1-4020-2468-9_8

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