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Itô-Wiener expansion for functionals of the Arratia's flow n-point motion
G. V. Riabov Institute of Mathematics, NAS of Ukraine
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.
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
Linking options:
https://www.mathnet.ru/eng/thsp14 https://www.mathnet.ru/eng/thsp/v19/i2/p64
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Abstract page: | 142 | Full-text PDF : | 70 | References: | 75 |
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