2014•Communications on Stochastic AnalysisOpen access

The Gaussian Radon transform in classical Wiener space

Irina Holmes, Ambar N. Sengupta

Abstract

We study the Gaussian Radon transform in the classical Wiener space of Brownian motion.We determine explicit formulas for transforms of Brownian functionals specified by stochastic integrals.A Fock space decomposition is also established for Gaussian measure conditioned to closed affine subspaces in Hilbert spaces.

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Key concepts: Classical Wiener space, Integral representation theorem for classical Wiener space, Mathematics, Fock space, Linear subspace, Gaussian, Brownian motion, Gaussian measure