In the present paper the Wick version of analytic functions with respect to a one dimensional Brownian motion is shown to be closely related to the backward heat equation. This fact provides representation theorems for a certain class of random variables in terms of Wick powers. In addition, we obtain explicit formulas for the action of some second quantization operators arising in the applications.
Wick product and backward heat equation
LANCONELLI, ALBERTO
2005-01-01
Abstract
In the present paper the Wick version of analytic functions with respect to a one dimensional Brownian motion is shown to be closely related to the backward heat equation. This fact provides representation theorems for a certain class of random variables in terms of Wick powers. In addition, we obtain explicit formulas for the action of some second quantization operators arising in the applications.File in questo prodotto:
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