The Annals of Probability

On Independence and Conditioning On Wiener Space

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.

Article information

Source
Ann. Probab. Volume 17, Number 4 (1989), 1441-1453.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176991164

Digital Object Identifier
doi:10.1214/aop/1176991164

Mathematical Reviews number (MathSciNet)
MR1048936

Zentralblatt MATH identifier
0693.60046

JSTOR