Chiang, T. S.; Chow, Y.; Lee, Y. J. Exact formulas of certain functional integrals on Wiener spaces. (English) Zbl 0832.60048 Stochastics Stochastics Rep. 50, No. 3-4, 211-223 (1994). Summary: An elementary method is used to derive formulas of the form \(E_w [\exp z (\langle Ax, x \rangle + \langle h,x \rangle)]\) on an abstract Wiener space \((H,B,W)\). Here \(h \in H\), \(A\) is a trace class operator on \(H\) and \(z\) is a complex number satisfying \(\sup_{|h |_H = 1} \text{Re} z \langle Ah, h \rangle_H < 1\). Some explicit examples including Lévy’s stochastic area formula are given to illustrate how to implement this simple method. Cited in 2 Documents MSC: 60G15 Gaussian processes 60G35 Signal detection and filtering (aspects of stochastic processes) 60J65 Brownian motion Keywords:Wiener integral; Lévy’s stochastic area formula PDFBibTeX XMLCite \textit{T. S. Chiang} et al., Stochastics Stochastics Rep. 50, No. 3--4, 211--223 (1994; Zbl 0832.60048) Full Text: DOI