Quadratic Wiener functionals -- transformations and quadratic forms

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Authors: Setsuo Taniguchi
Cited by: 0

Abstract

Quadratic Wiener functionals are investigated systematically through transformations of order one on the Wiener space with the help of Malliavin calculus. The bi-directional relationship between quadratic Wiener functionals and transformations of order one is established via change of variables formulas on the Wiener space. The relationship is applied to the investigation of Laplace transformations of quadratic Wiener functionals. This note is made due to establishing a systematic framework to study quadratic Wiener functionals and revisiting the past works by the author with the framework.

Fields of Study & Subjects

Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

Publication details

Journal / source
arXiv (Cornell University)
Publication date
1 March 2026
Language
EN
Document type
Preprint