M. M. Osypchuk, M. I. Portenko, “On Ornshtein-Uhlenbeck's measure of a Hilbert ball in the space of continuous functions”, Theory Stoch. Process., 2014, том 19(35), выпуск 1,страницы 46

On Ornshtein-Uhlenbeck's measure of a Hilbert ball in the space of continuous functions

M. M. Osypchuk^a, M. I. Portenko^b

^a Vasyl Stefanyk PreCarpathian National University
^b Institute of Mathematics of Ukrainian National Academy of Sciences

Аннотация: An explicit formula for the characteristic function of the $L_2$-norm of a path of the Ornshtein-Uhlenbeck process is established and some application of the result is given.

Ключевые слова: Wiener process, Ornshtein-Uhlenbeck process, Cameron-Martin formula.

MSC: Primary 60J60; Secondary 60G07

Язык публикации: английский