Finite dimensional Hida distributions
Fourier transformGaussian random variablesGel'fand triplegeneralized Itô formulaHida distributionOrnstein-Uhlenbeck operatorSchwartz distributionssecond quantization operatorstandard Gaussian measurewhite noise analysisWiener-Itô decomposition theorem
Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Distributions on infinite-dimensional spaces (46F25) Measures and integration on abstract linear spaces (46G12) (Generalized) eigenfunction expansions of linear operators; rigged Hilbert spaces (47A70) Probability theory on linear topological spaces (60B11) Generalized stochastic processes (60G20)
The title of the paper speaks of the composition of the Schwartz distributions and Gaussian random variables in white noise analysis. Let \(E\) be a real separable Hilbert space and \(A\) a positive selfadjoint operator in \(E\) such that \(A^{-\alpha}\), for some \(\alpha>0\), is a trace class operator. Let \({\mathcal E}\subset E\subset{\mathcal E}^*\) be the Gel'fand triple arising from \(E\) and \(A\). Let \(\mu\) be the standard Gaussian measure on \({\mathcal E}^*\) and let \((L^2)= L^2(\mu)\). By the Wiener-Itô decomposition theorem with the second quantization operator \(\Gamma(A)\) one can construct a Gel'fand triple \(({\mathcal E})\subset (L^2)\subset({\mathcal E})^*\). An element \(\varphi\) in the spaces \(({\mathcal E})^*\) and \(({\mathcal E})\) is called a Hida distribution and testing functional, respectively. It is said to be finite-dimensional if there exists a finite-dimensional subspace \(V\) (say, spanned by \(e_1,\dots, e_k\)) of \(E\) such that it belongs to the \(({\mathcal E})^*\)-closure of polynomials of \(\langle\cdot,e_1\rangle,\dots, \langle\cdot, e_k\rangle\). Theorems are given of characterization of the finite-dimensional element in \(({\mathcal E})^*\) and \(({\mathcal E})\), and of approximation of the element in \(({\mathcal E})^*\) and \(({\mathcal E})\) by finite-dimensional ones. A crucial ingredient is the Gel'fand triple \({\mathcal H}({\mathbf R}^k)\subset {\mathcal H}_0({\mathbf R}^k)\subset {\mathcal H}^*({\mathbf R}^k)\) arising from the standard Gaussian measure on \({\mathbf R}^k\) and the operator \(e^{-tL}\) with the Ornstein-Uhlenbeck operator \(L= \Delta- \sum^c_{j= 1} u_j\partial/\partial u_j\) on \({\mathbf R}^k\). \({\mathcal H}^*({\mathbf R}^k)\) properly includes the space \({\mathcal S}^*({\mathbf R}^k)\) of temperated distributions on \({\mathbf R}^k\), but there is no inclusion relation between \({\mathcal H}({\mathbf R}^k)\) and the space \({\mathcal S}({\mathbf R}^k)\) of rapidly decreasing functions. In the respect of having introduced this triple instead of the Gel'fand triple \({\mathcal S}({\mathbf R}^k)\subset L^2({\mathbf R}^k)\subset{\mathcal S}^*({\mathbf R}^k)\) used before, the authors extend their previous results in \textit{I. Kubo} [Notes Control Inf. Sci. 49, 156-166 (1983; Zbl 0529.60066)], \textit{H.-H. Kuo}, \textit{J. Potthoff} and \textit{L. Streit} [Nagoya Math. J. 121, 185-194 (1991; Zbl 0717.60051)] and \textit{I. Kubo} and \textit{H.-H. Kuo} [`Fourier transform and cylindrical Hida distributions', in ``Kallianpur Festschrift (1992; Zbl 0783.60043)]. In fact, it turns out that the finite-dimensional elements in \(({\mathcal E})^*\) (resp. \(({\mathcal E})\)) are just the composition of the elements in \({\mathcal H}^*({\mathbf R}^k)\) (resp. \({\mathcal H}({\mathbf R}^k)\)) and \(\langle\cdot,e_1\rangle,\dots, \langle\cdot, e_k\rangle\), where \(\{e_1,\dots, e_k\}\) are orthonormal in \(E\). Mention is also made of the Fourier transform of the element in \({\mathcal H}^*({\mathbf R}^k)\) together with its relationship with the Fourier transform of the finite-dimensional element in \(({\mathcal E})^*\), and of the generalized Itô formula for \(F(B(t))\) with \(F\in{\mathcal H}^*({\mathbf R}^k)\) and \(B(t)\) a Brownian motion on \({\mathbf R}^k\).
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