Integration by parts formulae for Wiener measures on a path space between two curves

Tadahisa Funaki, Kensuke Ishitani

研究成果: Article査読

10 被引用数 (Scopus)

抄録

This paper is concerned with the integration by parts formulae for the pinned or the standard Wiener measures restricted on a space of paths staying between two curves. The boundary measures, concentrated on the set of paths touching one of the curves once, are specified. Our approach is based on the polygonal approximations. In particular, to establish the convergence of boundary terms, a uniform estimate is derived by means of comparison argument for a sequence of random walks conditioned to stay between two polygons. Applying the Brascamp-Lieb inequality, the stochastic integrals of Wiener type are constructed relative to the three-dimensional Bessel bridge or the Brownian meander.

本文言語English
ページ(範囲)289-321
ページ数33
ジャーナルProbability Theory and Related Fields
137
3-4
DOI
出版ステータスPublished - 2007 3 1
外部発表はい

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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