A Change of Scale Formula for Wiener Integrals of Unbounded Functions

Abstract

Cameron and Storvick discovered change of scale formulas for Wiener integrals of bounded functions in a Banach algebra S on classical Wiener space. Yoo and Skoug extended these results to abstract Wiener space for a more generalized Fresnel class F A 1 ,A 2 than the Fresnel class F (B) which corresponds to the Banach algebra S on classical Wiener space. In this paper we present a change of scale formula for Wiener integrals of functions on abstract Wiener space which need not be bounded or continuous.