The probabilitiy distribution density of random values of squared functional on Wiener process trajectories

Details The probabilitiy distribution density of random values of squared functional on Wiener process trajectories The probabilitiy distribution density of random values of squared functional on Wiener process trajectories

2005-10-07

arxiv.org/abs/math-ph/0510028v1

Physics

Mathematical Physics

8 pages

Scientific paper

On the basis of the Kac formula of the characteristic function of the random
variable defined by values of the quadratic functional $J_T [w]$ on
trajectories of the standard Wiener process $\{w\}$, the method of its
distribution density is proposed.

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