

Principle Seminar of the Department of Probability Theory, Moscow State University
March 1, 2017 16:45, Moscow, MSU, auditorium 1224






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 ItôWiener 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 KrylovVeretennikov 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)

