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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2014 Volume 19(35), Issue 2, Pages 64–89 (Mi thsp14)

Itô-Wiener expansion for functionals of the Arratia's flow n-point motion

G. V. Riabov

Institute of Mathematics, NAS of Ukraine

Abstract: The structure of square integrable functionals measurable with respect to the $n$-point motion of the Arratia flow is studied. Relying on the change of measure technique, a new construction of multiple stochastic integrals along trajectories of the flow is presented. The analogue of the Itô-Wiener expansion for square integrable functionals from the Arratia's flow $n$-point motion is constructed.

Keywords: Brownian motion, Itô-Wiener expansion, coalescing stochastic flow.

MSC: Primary 60H07; Secondary 60H05, 60H30, 60H40, 60K35

Language: English



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