On the Quadratic Wiener Functional Associated with the Malliavin Derivative of the Square Norm of Brownian Sample Path on Interval
Setsuo Taniguchi, Kyushu University
Abstract
Exact expressions of the stochastic oscillatory integrals
with the phase function, which is the quadratic Wiener
functional obtained from the Malliavin derivative of the
square norm of the Brownian sample path on interval, are
given.
As an application, the density function of the distribution
of the half of the Wiener functional is given.
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