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Theory of Stochastic Processes, 2007, Volume 13(29), Issue 3, Pages 29–37 (Mi thsp226)  
Conditioning of gaussian functionals and orthogonal expansion

Andrey A. Dorogovtsev

Institute of Mathematics, National Academy of Sciences of Ukraine, 3, Tereshchenkivs'ka Str., Kyiv 01601, Ukraine
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Abstract: In the article, we consider terms of the Gaussian chaotic expansion under conditioning with respect to some sigma-field and discuss the possibility to organize the orthogonal expansion from them.
Keywords: Gaussian white noise, Ito–Wiener expansion, conditional expectation, polynomially nondegenerate measure.
Bibliographic databases:
Document Type: Article
MSC: 60H05, 60H40, 60B11
Language: English
Citation: Andrey A. Dorogovtsev, “Conditioning of gaussian functionals and orthogonal expansion”, Theory Stoch. Process., 13(29):3 (2007), 29–37
Citation in format AMSBIB
\Bibitem{Dor07}
\by Andrey~A.~Dorogovtsev
\paper Conditioning of gaussian functionals
and orthogonal expansion
\jour Theory Stoch. Process.
\yr 2007
\vol 13(29)
\issue 3
\pages 29--37
\mathnet{http://mi.mathnet.ru/thsp226}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=2396062}
\zmath{https://zbmath.org/?q=an:1199.60193}
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