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 |
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Pages (from-to) | 291-308 |
Number of pages | 18 |
Journal | Probability Theory and Related Fields |
Volume | 114 |
Issue number | 3 |
DOIs | |
Publication status | Published - Jul 1999 |
All Science Journal Classification (ASJC) codes
- Analysis
- Statistics and Probability
- Statistics, Probability and Uncertainty