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Wiener Functionals of Second Order and Their Lévy Measures


 
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1. Title Title of document Wiener Functionals of Second Order and Their Lévy Measures
 
2. Creator Author's name, affiliation, country Hiroyuki Matsumoto; Nagoya University
 
2. Creator Author's name, affiliation, country Setsuo Taniguchi; Kyushu University
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) Wiener functional of second order, Lévy measure, Mellin transform, exponential decay
 
3. Subject Subject classification 60J65, 60E07
 
4. Description Abstract The distributions of Wiener functionals of second order are infinitely divisible. An explicit expression of the associated Lévy measures in terms of the eigenvalues of the corresponding Hilbert-Schmidt operators on the Cameron-Martin subspace is presented. In some special cases, a formula for the densities of the distributions is given. As an application of the explicit expression, an exponential decay property of the characteristic functions of the Wiener functionals is discussed. In three typical examples, complete descriptions are given.
 
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7. Date (YYYY-MM-DD) 2002-02-12
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/113
 
10. Identifier Digital Object Identifier 10.1214/EJP.v7-113
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 7
 
12. Language English=en en
 
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