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arXiv · 1511.08028

Krylov-Veretennikov formula for functionals from the stopped Wiener process

G. V. Riabov
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Abstract

We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process $w(\cdot\wedge\tau)$. 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 $f=\varphi(w(\tau))$ is obtained.

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G. V. Riabov. 2015-11-25. Krylov-Veretennikov formula for functionals from the stopped Wiener process. https://arxiv.org/abs/1511.08028

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