All Questions

The Feynman–Kac formula provides a functional (Wiener) integral representation of the solution $u$ to the heat equation \begin{align*} \partial_t u &= \frac{1}{2}\Delta_x u,\\ u(0,x) &= ...

In introductions to abstract Wiener spaces, the sample paths usually form a Banach space; so, in particular, the sum of two sample paths is a valid sample path and also an element of the Banach space. ...

Let $X(t)$ be a diffusion process on $\mathbb{R}^d$ generated by \begin{align} \mathcal{D} = \nabla^2 + \sum_{i=1}^d b_i(x) \frac{\partial}{\partial x_i}, \end{align} where $b_i(x) \in \mathcal{C}_b^2(...

Let $W=C_0([0,1],\mathbb R^d)$ be the classical Wiener space equipped with $\mu$ the Wiener measure. If $F:W\to\mathbb R$ is a cylindrical function of the form \begin{align*} F(w)=f(W_{t_1}(w),\cdots,...

Most probably this question should be well studied in the theory of stochastic processes, but I am not educated in that area. Sorry if this question is too elementary. Let $V\colon \mathbb{R}\to \...

Assume that we have $\epsilon_1, \; \epsilon_2$ independent white noises. Can I write $\int_{0}^1 \epsilon_1^2(t)dt$ Can I write $\int_{0}^1 \epsilon_1(t) \epsilon_2(t)dt$ 1 and 2 obviously make no ...