A generalization of the Wick-Itô stochastic integral (Q2476524): Difference between revisions

The aim of this note is to extend stochastic integral with respect to fractional Brownian motion, to a wider class of Gaussian stochastic processes, associated with a covariance function \(K_n(s,t)\). Classically, such function can be written \[ K_m(s,t)= \int_{\mathbb R} (e^{isu}- 1)(e^{-itu}-1) u^{-2} dm(u), \] where \(m\) denotes a positive measure such that \(\int (u^2+1)^{-1} dm(u)<\infty\). Considering a Gaussian process \(B_n(t)\) having covariance \(K_m\), and the operator \(T_m\) defined by \(\widehat{T_mf}= \sqrt{m}\widehat f\), the authors define \[ \int_{\mathbb R} f(t)\,dB_m(t):= \int_{\mathbb R} (T_mf)(t)\,dB(t), \] where \(B(t)\) is a standard Brownian motion, and \(f\) belongs to Schwartz' space. In the framework of Hida distributions, an alternative expression, using Wick product, is given.