A Note on the Sample Path-valued Conditional Yeh-Wiener Integral
Commun. Korean Math. Soc. 1998 Vol. 13, No. 4, 811-815
Joo Sup Chang, Joong Hyun Ahn
Hanyang University, Hanyang University
Abstract : In this paper we define a sample path-valued conditional Yeh-Wiener integral for function F of the type \par \ $$ E \bigl[F(x)|x \bigl(*,\frac{T}{S} * \bigr) = \psi(\blacktriangle) \bigr], $$ where $\psi$ is in $C[0,\sqrt{S^2 + T^2}]$ and $\blacktriangle = \frac{\sqrt{S^2 + T^2}}{S^2} *^2$ and evaluate a sample path-valued conditional Yeh-Wiener integral using the result obtained.
Keywords : Yeh-Wiener integral, conditional Yeh-Wiener integral
MSC numbers : Primary 60J65, 28C20
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