Generalized holomorphic processes and differentiability (Q1824280): Difference between revisions

A real-valued process \((u_ z\); \(z\in {\mathbb{R}}^ 2_+)\) is called holomorphic if it has the representation \[ u_ z=u_ 0+\int_{H_ z}\phi_ z\partial_ 1W_ z=u_ 0+\int_{V_ z}\phi_ z\partial_ 2W_ z, \] where \(H_ z\) resp. \(V_ z\) is the horizontal resp. vertical segment connecting z with the axes, and where \(W\) is the two-parameter Wiener process. The structure of holomorphic processes is remarkably similar to that of classical holomorphic functions. The authors give characterizations of holomorphic processes by means of series expansions of square integrable processes into multiple Wiener integrals and using the associated differential operator. Moreover, they consider quasiholomorphic processes for more general parameter sets, and they show that a process is holomorphic iff it is quasiholomorphic and a martingale with respect to a certain order.