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ON THE QUADRATIC WIENER FUNCTIONAL ASSOCIATED WITH THE MALLIAVIN DERIVATIVE OF THE SQUARE NORM OF BROWNIAN SAMPLE PATH ON INTERVAL
reflected Brownian motion with drift stationarydistriution reflection principl
2009/4/22
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relyin...
On the Quadratic Wiener Functional Associated with the Malliavin Derivative of the Square Norm of Brownian Sample Path on Interval
Quadratic Functional Sample Path Interval
2009/4/1
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 sa...