Krylov-Veretennikov formula for functionals from the stopped Wiener process
Probability
2015-11-26 v1
Abstract
We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process . Multiple stochastic integrals, that lead to the analogue of the It\^o-Wiener expansions for such measures, are described. An analogue of the Krylov-Veretennikov formula for functionals is obtained.
Cite
@article{arxiv.1511.08028,
title = {Krylov-Veretennikov formula for functionals from the stopped Wiener process},
author = {G. V. Riabov},
journal= {arXiv preprint arXiv:1511.08028},
year = {2015}
}