Generalized Brownian functionals and stochastic integrals (Q1058777): Difference between revisions

This paper gives a brief review of some new results of the author and his colleagues on the theory of generalized Brownian functionals. Let B(T,\(\omega)\), \(t\in {\mathbb{R}}\), be a Brownian motion. The derivation \(\dot B(\)t,\(\omega)\) induces a measure \(\mu\) on the space of generalized functions \(E^*\). The Hilbert space \(L^ 2(E^*,\mu)\) is considered the space of nonlinear functionals of the Brownian motion. As the analogous methods in the theory of generalized functions, several types of triplets are introduced, \[ (L^ 2)^+\subset L^ 2(E^*,\mu)\subset (L^ 2)^-. \] The space \((L^ 2)^-\) is called the space of generalized Brownian functionals. In the space \((L^ 2)^- \), the partial differentiation at time points \(\partial_ t\) and its dual \(\partial^*_ t\) are defined and they can be considered the annihilation operator and the creation operator with respect to the Fock decomposition of the space \((L^ 2)^-\). Using the operator \(\partial^*_ t\), a generalization of stochastic integrals is obtained as \[ \partial^*(f)\phi =\int^{\infty}_{-\infty}f(u)\partial^*_ u\phi du,\quad f\in L^ 2({\mathbb{R}}^ 1)\quad and\quad \phi \in (L^ 2)^-. \] Finally the Laplace-Beltrami operator \(\Delta\) on \((L^ 2)^-\) is introduced by \(\Delta \phi =-\int \partial^*_ u\partial_ u\phi du.\)