Transformations of Wiener Measure and Orthogonal Expansions

Abstract

In this paper we study the structure of square integrable functionals measurable with respect to coalescing stochastic flows. The case of $L^2$ space generated by the process $\eta (\cdot )=w(\min (\tau ,\cdot )),$ where $w$ is a Brownian motion and $\tau$ is the first moment when $w$ hits the given continuous function $g$ is considered. We present a new construction of multiple stochastic integrals with respect to the process $\eta .$ Our approach is based on the change of measure technique. The analogue of the Itô-Wiener expansion for the space $L^2(\eta )$ is constructed.