Exponential integrability and application to stochastic quantization

DOI10.1007/S002459900078MaRDI QIDQ1384647zbMATH OpenOpenAlexFDO

Authors Yaozhong Hu, Gopinath Kallianpur

Publication date 5 January 1999

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002459900078

zbMATH Keywords

exponential martingalesItô-Wiener integralsstochastic quantization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic quantization (81S20)

Review text

This paper studies the problem of exponential integrability of certain Wiener functionals, namely multiple stochastic integrals in a Wiener chaos. Elements of the first Wiener chaos always have exponential moments of all orders, while for elements in the second chaos, this is only true if they are negative definite. It is proved that non-zero elements of the third chaos never have any exponential moment. The case of chaos of higher order is much more difficult in geneal. Some results are proved, for a special class of Wiener functionals, constructed from the free field in a bounded connected domain in \(\mathbb{R}^d\). These results are applied to stochastic quantization, as described for example in the paper by \textit{G. Jona-Lasinio} and \textit{P. K. Mitter} [Commun. Math. Phys. 101, 409-436 (1985; Zbl 0588.60054)]. The idea of stochastic quantization is to realize a measure \(\mu\) as the invariant measure of some Markov process. In the case under investigation, the measure is of the form \(d\mu= \exp(-I_n(f_n))d\mu_0\) where \(\mu_0\) is a Gaussian measure and \(I_n(f_n)\) is an element in the \(n\)th chaos of this measure. The Markov process with invariant measure \(\mu\) is realized as the solution to an infinite-dimensional stochastic differential equation, whose existence is proved.

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(13)

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• Renormalized self-intersection local time for fractional Brownian motion
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