• Journal of the Korean Mathematical Society
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• v.43 no.2
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• pp.357-371
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• 2006

Let $X\;=\;(X_t,\;t{\in}[0, T])$ be a generalized Brownian motion(gBm) determined by mean function a(t) and variance function b(t). Let $L^2({\mu})$ denote the Hilbert space of square integrable functionals of $X\;=\;(X_t - a(t),\; t {in} [0, T])$. In this paper we consider a class of nonlinear functionals of X of the form F(. + a) with $F{in}L^2({\mu})$ and discuss their analysis. Firstly, it is shown that such functionals do not enjoy, in general, the square integrability and Malliavin differentiability. Secondly, we establish regularity conditions on F for which F(.+ a) is in $L^2({\mu})$ and has its Malliavin derivative. Finally we apply these results to compute the price and the hedging portfolio of a contingent claim in our financial market model based on a gBm X.

• Bulletin of the Korean Mathematical Society
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• v.48 no.3
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• pp.475-489
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• 2011

In this paper, we use a generalized Brownian motion to define a generalized analytic Feynman integral. We then obtain some results for the generalized analytic Feynman integral of bounded cylinder functionals of the form F(x) = $\hat{v}$(($g_1,x)^{\sim}$,..., $(g_n,x)^{\sim}$) defined on a very general function space $C_{a,b}$[0,T]. We also present a change of scale formula for function space integrals of such cylinder functionals.

• Journal of the Korean Mathematical Society
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• v.38 no.2
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• pp.275-281
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• 2001

The trajectory of a classical dynamics is determined by the least action principle. As soon as we come to quantum dynamics, we have to consider all possible trajectories which are proposed to be a sum of the classical trajectory and Brownian fluctuation. Thus, the action involves the square of the derivative B(t) (white noise) of a Brownian motion B(t). The square is a typical example of a generalized white noise functional. The Feynman propagator should therefore be an average of a certain generalized white noise functional. This idea can be applied to a large class of dynamics with various kinds of Lagrangians.

• Communications of the Korean Mathematical Society
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• v.36 no.4
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• pp.685-704
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• 2021

The purpose of this paper is to establish a very general Cameron-Storvick theorem involving the generalized analytic Feynman integral of functionals on the product function space C²_a,b[0, T]. The function space C_a,b[0, T] can be induced by the generalized Brownian motion process associated with continuous functions a and b. To do this we first introduce the class ${\mathcal{F}}^{a,b}_{A_1,A_2}$ of functionals on C²_a,b[0, T] which is a generalization of the Kallianpur and Bromley Fresnel class ${\mathcal{F}}_{A_1,A_2}$. We then proceed to establish a Cameron-Storvick theorem on the product function space C²_a,b[0, T]. Finally we use our Cameron-Storvick theorem to obtain several meaningful results and examples.

• Communications of the Korean Mathematical Society
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• v.26 no.2
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• pp.273-289
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• 2011

In this paper we dene the concept of a conditional generalized Fourier-Feynman transform on very general function space $C_{a,b}$[0, T]. We then establish the existence of the conditional generalized Fourier-Feynman transform for functionals in a Fresnel type class. We also obtain several results involving the conditional transform. Finally we present functionals to apply our results. The functionals arise naturally in Feynman integration theories and quantum mechanics.

• Communications of the Korean Mathematical Society
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• v.11 no.3
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• pp.707-723
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• 1996

We first define the concept of the generalized analytic Fourier-Feynman transforms of a class of functionals on function space induced by a generalized Brownian motion process and study of functionals which plays on important role in physical problem of the form $ F(x) = {\int^{T}_{0} f(t, x(t))dt} $ where f is a complex-valued function on $[0, T] \times R$. We next show that the generalized analytic Fourier-Feynman transform of the convolution product is a product of generalized analytic Fourier-Feynman transform of functionals on functin space.

• Proceedings of the Korean Statistical Society Conference
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• 2003.05a
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• pp.31-36
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• 2003

Using a short time expansion of the fundamental solution of heat equation by analysis of Wiener functional with the help of Malliavin calculus, we obtain the asymptotic expansion of the mean distance of Brownian motion on Riemannian manifolds.

• The Pure and Applied Mathematics
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• v.16 no.4
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• pp.369-382
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• 2009

In this paper we establish various relationships among the generalized integral transform, the generalized convolution product and the first variation for functionals in a Banach algebra S($L_{a,b}^2$[0, T]) introduced by Chang and Skoug in [14]. We then derive an inverse integral transform and obtain several relationships involving inverse integral transforms.

• Journal of the Korean Mathematical Society
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• v.50 no.3
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• pp.607-625
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• 2013

It is well-known that the ordinary single-parameter Wiener space exhibits a reflection principle. In this paper we establish a reflection principle for a generalized one-parameter Wiener space and apply it to the integration of a class of functionals on this space. We also discuss several notions of a reflection principle for the two-parameter Wiener space, and explore whether these actually hold.

• The Pure and Applied Mathematics
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• v.4 no.1
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• pp.47-60
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• 1997

In the theory of the conditional Wiener integral, the integrand is a functional of the standard Wiener process. In this paper we consider a conditional function space integral for functionals of more general stochastic process and the generalized Kac-Feynman integral equation. We first show that the existence of a partial differential equation. We then show that the generalized Kac-Feynman integral equation is equivalent to the partial differential equation.