Stochastic integrals and evolution equations with Gaussian random fields (Q2272165): Difference between revisions
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English | Stochastic integrals and evolution equations with Gaussian random fields |
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Stochastic integrals and evolution equations with Gaussian random fields (English)
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6 August 2009
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Let \(V\) be a linear topological space over the real numbers \(\mathbb R\). A generalized random field over \(V\) is defined as a mapping \({\mathcal H}:\Omega\times V\to \mathbb R\) with the following properties: {\parindent=6mm \begin{itemize}\item[{\(\bullet\)}]for every \(f\in V\), \({\mathcal H}(f)={\mathcal H}(\cdot, f)\) is a random variable; \item[{\(\bullet\)}]for every \(\alpha,\beta\in \mathbb{R}\) and \(f,g\in V\), \({\mathcal H}(\alpha f+\beta g)= \alpha{\mathcal H}(f)+ \beta{\mathcal H}(g)\); \item[{\(\bullet\)}]if \(\lim_{n\to\infty} f_n= f\) in the topology of \(V\), then \(\lim_{n\to\infty}{\mathcal H}(f_n)={\mathcal H}(f)\) in probability. \end{itemize}} The generalized random field \({\mathcal H}\) is called: {\parindent=6mm \begin{itemize}\item[{\(\bullet\)}]zero-mean, if \(E{\mathcal H}(f)= 0\) for all \(f\in V\); \item[{\(\bullet\)}] Gaussian if the random variable \({\mathcal H}(f)\) is Gaussian for every \(f\in V\). \end{itemize}} The authors consider zero-mean generalized Gaussian fields over Hilbert space \(H\). They study the connection between generalized Gaussian fields over \(L_2((0, T))\) and processes that are representable in the form \[ \int^t_0 K(t, s)dW(s). \] The authors investigate stochastic integrals with respect to arbitrary Gaussian processes and fields using chaos expansion and study the corresponding stochastic evolution equations. They study also more general stochastic evolution equations and establish the corresponding stochastic parabolicity conditions.
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generalized random field
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chaos expansion
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stochastic evolution equation
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