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

reproducing kernel Hilbert spacestochastic differential equationstochastic integralcylindrical processcylindrical Wiener processcylindrical measureradonifying operator

Mathematics Subject Classification ID

Gaussian processes (60G15) Probability theory on linear topological spaces (60B11) 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)

• Stochastic integration with respect to cylindrical Lévy processes in Hilbert spaces: an \(L^{2}\) approach
• On an autoregressive process driven by a sequence of Gaussian cylindrical random variables
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• The dual Yamada-Watanabe theorem for mild solutions to stochastic partial differential equations
• Ornstein-Uhlenbeck processes driven by cylindrical Lévy processes
• On the stochastic elliptic equations involving fractional derivative
• Stochastic modified flows for Riemannian stochastic gradient descent
• A descriptive definition of the Itô-Henstock integral for the operator-valued stochastic process
• SPDE bridges with observation noise and their spatial approximation

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