Integration formulas for the conditional transform involving the first variation

Document Type: Research Paper


Department of Mathematics, Dankook University, Cheonan 330-714, Korea


In this paper, we show that the conditional transform with respect to the Gaussian process
involving the first variation can be expressed in terms of the conditional transform without the first variation.
We then use this result to obtain various integration formulas involving the conditional $\diamond$-product and the first variation.


Main Subjects