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JOURNALS // Theory of Stochastic Processes // Archive
Theory Stoch. Process., 2014 Volume 19(35), Issue 1, Pages 46–51 (Mi thsp5)
On Ornshtein-Uhlenbeck's measure of a Hilbert ball in the space of continuous functions

M. M. Osypchuka, M. I. Portenkob

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

Abstract: 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.

Keywords: Wiener process, Ornshtein-Uhlenbeck process, Cameron-Martin formula.

MSC: Primary 60J60; Secondary 60G07

Language: English



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