On the quadratic wiener functional associated with the malliavin derivative of the square norm of brownian sample path on interval

Setsuo Taniguchi

doi:10.1214/ECP.v11-1174

On the quadratic wiener functional associated with the malliavin derivative of the square norm of brownian sample path on interval

Setsuo Taniguchi

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Exact expressions of the stochastic oscillatory integrals with phase function ∫0^T(∫_t ^T w(s) ds)²dt, (w(t))_≥0 being the 1-dimensional Brownian motion, are given. As an application, the density function of the distribution of the half of the Wiener functional is given.

Original language	English
Pages (from-to)	1-10
Number of pages	10
Journal	Electronic Communications in Probability
Volume	11
DOIs	https://doi.org/10.1214/ECP.v11-1174
Publication status	Published - Jan 1 2006
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1214/ECP.v11-1174

Cite this

@article{28d480779d61412680037ba171a8cba2,

title = "On the quadratic wiener functional associated with the malliavin derivative of the square norm of brownian sample path on interval",

abstract = "Exact expressions of the stochastic oscillatory integrals with phase function ∫0T(∫t T w(s) ds)2dt, (w(t))≥0 being the 1-dimensional Brownian motion, are given. As an application, the density function of the distribution of the half of the Wiener functional is given.",

author = "Setsuo Taniguchi",

year = "2006",

month = jan,

day = "1",

doi = "10.1214/ECP.v11-1174",

language = "English",

volume = "11",

pages = "1--10",

journal = "Electronic Communications in Probability",

issn = "1083-589X",

publisher = "Institute of Mathematical Statistics",

}

TY - JOUR

T1 - On the quadratic wiener functional associated with the malliavin derivative of the square norm of brownian sample path on interval

AU - Taniguchi, Setsuo

PY - 2006/1/1

Y1 - 2006/1/1

N2 - Exact expressions of the stochastic oscillatory integrals with phase function ∫0T(∫t T w(s) ds)2dt, (w(t))≥0 being the 1-dimensional Brownian motion, are given. As an application, the density function of the distribution of the half of the Wiener functional is given.

AB - Exact expressions of the stochastic oscillatory integrals with phase function ∫0T(∫t T w(s) ds)2dt, (w(t))≥0 being the 1-dimensional Brownian motion, are given. As an application, the density function of the distribution of the half of the Wiener functional is given.

UR - http://www.scopus.com/inward/record.url?scp=31344435662&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=31344435662&partnerID=8YFLogxK

U2 - 10.1214/ECP.v11-1174

DO - 10.1214/ECP.v11-1174

M3 - Article

AN - SCOPUS:31344435662

SN - 1083-589X

VL - 11

SP - 1

EP - 10

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

ER -

On the quadratic wiener functional associated with the malliavin derivative of the square norm of brownian sample path on interval

Abstract

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Fingerprint

Cite this