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On homogeneous chaos
Published online by Cambridge University Press: 24 October 2008
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.
- 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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