Stochastic oscillatory integrals with quadratic phase function and Jacobi equations

S. Taniguchi

doi:10.1007/s004400050227

Stochastic oscillatory integrals with quadratic phase function and Jacobi equations

S. Taniguchi

Division for Theoretical Natural Science

Research output: Contribution to journal › Article

Abstract

An evaluation of a stochastic oscillatory integral with quadratic phase function and analytic amplitude function is given by using solutions of Jacobi equations. The evaluation will be obtained as an application of real change of variable formulas and holomorphic prolongations of analytic functions on a real Wiener space. On the way we shall see how a Jacobi equation appears in the evaluation by using the Malliavin calculus.

Original language	English
Pages (from-to)	291-308
Number of pages	18
Journal	Probability Theory and Related Fields
Volume	114
Issue number	3
DOIs	https://doi.org/10.1007/s004400050227
Publication status	Published - Jul 1999

All Science Journal Classification (ASJC) codes

Analysis
Statistics and Probability
Statistics, Probability and Uncertainty

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10.1007/s004400050227

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Taniguchi, S. (1999). Stochastic oscillatory integrals with quadratic phase function and Jacobi equations. Probability Theory and Related Fields, 114(3), 291-308. https://doi.org/10.1007/s004400050227

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