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On homogeneous chaos

Published online by Cambridge University Press:  24 October 2008

Nigel Cutland  and
Siu-Ah Ng
Nigel Cutland
Affiliation:
Department of Pure Mathematics, University of Hull, Hull HU6 7RX
Siu-Ah Ng
Affiliation:
Department of Pure Mathematics, University of Hull, Hull HU6 7RX
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Abstract

This paper discusses the Wiener–Itô chaos decomposition of an L2 function φ over Wiener space, and is concerned in particular with the identification of the integrands ƒn in the chaos decomposition

First these are identified as Radon–Nikodým derivatives. Two elementary non-standard proofs of the Wiener–Itô chaos decomposition are given, based on Anderson's construction of Brownian motion and Itô integration.

Information

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 110 , Issue 2 , September 1991 , pp. 353 - 363
Copyright
Copyright © Cambridge Philosophical Society 1991

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References

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