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Theory of Stochastic Processes, 2014, Volume 19(35), Issue 2, Pages 64–89 (Mi thsp14)  

Itô-Wiener expansion for functionals of the Arratia's flow n-point motion

G. V. Riabov

Institute of Mathematics, NAS of Ukraine
References:
Abstract: The structure of square integrable functionals measurable with respect to the $n$-point motion of the Arratia flow is studied. Relying on the change of measure technique, a new construction of multiple stochastic integrals along trajectories of the flow is presented. The analogue of the Itô-Wiener expansion for square integrable functionals from the Arratia's flow $n$-point motion is constructed.
Keywords: Brownian motion, Itô-Wiener expansion, coalescing stochastic flow.
Funding agency Grant number
Russian Foundation for Basic Research 14-01-90406_Укр_а
The work was partially supported by the Presidium of National Academy of Sciences of Ukraine as a part of the joint scientific project with the Russian foundation of fundamental research, project number 09-01-14
Bibliographic databases:
Document Type: Article
MSC: Primary 60H07; Secondary 60H05, 60H30, 60H40, 60K35
Language: English
Citation: G. V. Riabov, “Itô-Wiener expansion for functionals of the Arratia's flow n-point motion”, Theory Stoch. Process., 19(35):2 (2014), 64–89
Citation in format AMSBIB
\Bibitem{Rya14}
\by G.~V.~Riabov
\paper It\^o-Wiener expansion for functionals of the Arratia's flow n-point motion
\jour Theory Stoch. Process.
\yr 2014
\vol 19(35)
\issue 2
\pages 64--89
\mathnet{http://mi.mathnet.ru/thsp14}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3405384}
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  • https://www.mathnet.ru/eng/thsp/v19/i2/p64
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