A simple formula for conditional Wiener integrals with applications
A simple formula for conditional Wiener integrals with applications
Yen's inversion formula for conditional Wiener integrals is very complicated to apply when the conditioning function is vector-valued.This paper gives a very simple formula for such integrals.In particular, we express the conditional Wiener integral directly in terms of an ordinary (i.e., nonconditional) Wiener integral.Using this new formula, it is very …