Conditioning of gaussian functionals and orthogonal expansion

Andrey A. Dorogovtsev

Institute of Mathematics, National Academy of Sciences of Ukraine, 3, Tereshchenkivs'ka Str., Kyiv 01601, Ukraine

Аннотация: In the article, we consider terms of the Gaussian chaotic expansion under conditioning with respect to some sigma-field and discuss the possibility to organize the orthogonal expansion from them.

Ключевые слова: Gaussian white noise, Ito–Wiener expansion, conditional expectation, polynomially nondegenerate measure.

MSC: 60H05, 60H40, 60B11

Язык публикации: английский

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