Open Access
October, 1989 On Independence and Conditioning On Wiener Space
Ali Suleyman Ustunel, Moshe Zakai
Ann. Probab. 17(4): 1441-1453 (October, 1989). DOI: 10.1214/aop/1176991164
Abstract

Let $I_p(f)$ and $I_q(g)$ be multiple Wiener-Ito integrals of order $p$ and $q$, respectively. A characterization of independence of general random variables on Wiener space in the context of the stochastic calculus of variations is derived and a necessary and sufficient condition on the pair of kernels $(f, g)$ is derived under which the random variables $I_p(f), I_q(g)$ are independent.

Ustunel and Zakai: On Independence and Conditioning On Wiener Space
Copyright © 1989 Institute of Mathematical Statistics
Ali Suleyman Ustunel and Moshe Zakai "On Independence and Conditioning On Wiener Space," The Annals of Probability 17(4), 1441-1453, (October, 1989). https://doi.org/10.1214/aop/1176991164
Published: October, 1989
Vol.17 • No. 4 • October, 1989
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