Integrating Path-Dependent Functionals on Yeh-Wiener Space

Authors

Ian Pierce, USAFAFollow
David Skough, University of Nebraska-LincolnFollow

Date of this Version

12-15-2014

Citation

U.S. Government Work

Comments

Communications in Applied Analysis 19 (2015), 643–658

Abstract

Denote by Ca,b(Q) the generalized two-parameter Yeh-Wiener space with associated Gaussian measure. We investigate several scenarios in which integrals of functionals on this space can be reduced to integrals of related functionals over an appropriate single-parameter generalized Wiener space Cˆa,ˆb[0, T ]. This extends some interesting results of R. H. Cameron and D. A. Storvick.