Cylindrical Wiener processes

DOI10.1007/978-3-642-15217-7_7MaRDI QIDQ3086798zbMATH OpenOpenAlexFDO

Authors M. Riedle

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.2261

zbMATH Keywords

cylindrical measurecylindrical processcylindrical Wiener processradonifying operatorreproducing kernel Hilbert spacestochastic differential equationstochastic integral

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Gaussian processes (60G15) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Abstract: In this work cylindrical Wiener processes on Banach spaces are defined by means of cylindrical stochastic processes, which are a well considered mathematical object. This approach allows a definition which is a simple straightforward extension of the real-valued situation. We apply this definition to introduce a stochastic integral with respect to cylindrical Wiener processes. Again, this definition is a straightforward extension of the real-valued situation which results now in simple conditions on the integrand. In particular, we do not have to put any geometric constraints on the Banach space under consideration. Finally, we relate this integral to well-known stochastic integrals in literature.

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Cited in

(23)

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• Piecewise linear interpolation of noise in finite element approximations of parabolic SPDEs
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• Existence and large time behavior for a stochastic model of modified magnetohydrodynamic equations

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