Krylov-Veretennikov formula for functionals from the stopped Wiener process

Abstract

We consider a class of measures absolutely continuous with respect to the distribution of the stopped Wiener process $w(\cdot \wedge \tau )$. Multiple stochastic integrals, that lead to the analogue of the Itô-Wiener expansions for such measures, are described. An analogue of the Krylov-Veretennikov formula for functionals $f=\phi (w(\tau ))$ is obtained.

References in corpus (1)

• Flows, coalescence and noise