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Start Over Author "Privault, Nicolas" Topic combinatorial identities Publisher world scientific publishing company
1 results on '"Privault, Nicolas"'

1. RANDOM HERMITE POLYNOMIALS AND GIRSANOV IDENTITIES ON THE WIENER SPACE.

Author

PRIVAULT, NICOLAS and Franz, U.

Subjects
*HERMITE polynomials, *RANDOM walks, *COMBINATORIAL identities, *WIENER integrals, *MATHEMATICAL proofs, *MATHEMATICAL analysis
Abstract

In this paper, we derive a formula for the expectation of random Hermite polynomials in Skorohod integrals, extending classical results in the adapted case. As an application we recover, under simple conditions and with short proofs, the anticipative Girsanov identity and quasi-invariance results obtained in Ref. 6 for quasi-nilpotent shifts on the Wiener space. [ABSTRACT FROM AUTHOR]

Published
2010
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