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Principle Seminar of the Department of Probability Theory, Moscow State University
March 1, 2017 16:45, Moscow, MSU, auditorium 12-24
 


Transformations of Wiener measure and orthogonal expansions

G. V. Ryabov

Institute of Mathematics, Ukrainian National Academy of Sciences, Kiev
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Abstract: The main objective of the talk will be to discuss analogues of the Itô-Wiener expansion for measures defined as transformations of the Wiener measure by coalescing type mappings. The totality of a family of specific multiple stochastic intergals in $L^2$ relatively to the transformed measure will be proved. In certain cases an explicit formula for calculating the orthogonal expansion will be proposed. This formula is a generalization of the Krylov-Veretennikov formula. Obtained results will be applied to the study of an orthogonal structure of the space of square integrable functions measurable with respect to the Arratia flow.

Materials: moscow_2017.pdf (591.2 Kb)

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