The Skorohod integral and the derivative operator of functionals of a cylindrical Brownian motion (Q1186088): Difference between revisions

The authors introduce the Skorokhod integral of an operator-valued stochastic process with respect to a cylindrical Brownian measure, using the Wiener chaos expansion of the process. It is proved that this stochastic integral generalizes the Itô integral of an adapted operator-valued process. The authors also introduce the derivative operator of a Hilbert-valued functional of the cylindrical Brownian measure in terms of the Wiener chaos expansion, and they show that the Skorokhod integral coincides with the adjoint of the derivative operator. The Skorokhod integral on Hilbert spaces has also been studied using a different approach based on its characterization as the adjoint of the derivative operator by \textit{A. Grorud} and \textit{E. Pardoux} in the paper reviewed above.