Tempered generalized functions and Hermite expansions (Q608402): Difference between revisions

The authors introduce a sequential variant of Colombeau's tempered generalized functions based on the Fourier-Hermite expansion of tempered distributions. Any tempered distribution \(S\in \mathcal{S}'\) possesses a Hermite expansion \(S = \sum_{j=0}^\infty S(h_j)h_j\) with respect to the Hermite functions \(h_j\). Based on this result, the differential algebra \(\mathcal{H:= H_{S'}/H_{S}}\), with \({\mathcal H_{\mathcal S'},\;{\mathcal H_{\mathcal S}} \subseteq {\mathcal S}}^{\mathbb N}\) is constructed and tempered distributions are embedded into \(\mathcal H\) via the sequence of their truncated Hermite expansions. The basic properties of the algebra (product of embedded distributions, point values, integration and Fourier transform) are established. As a main application, generalized stochastic calculus is based on this approach. In particular, an Itô formula for tempered generalized functions extending the classical version is proved.