A representation theorem for generalized Wiener process in conuclear space (Q1908574)
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English | A representation theorem for generalized Wiener process in conuclear space |
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A representation theorem for generalized Wiener process in conuclear space (English)
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21 May 1996
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Let \(\Phi\) be a nuclear space and \(\Psi\) be a multi-Hilbertian space. Let \(\{q_s\}_{s \in R_+}\) be a family of continuous Hilbertian seminorms on \(\Phi\) satisfying some weak regularity assumptions. Assume that \(Y\) is an operator-valued process (the operators are \(\Psi'\)-valued) which is integrable with respect to a Wiener process in \(\Phi'\) whose covariance is determined by \(\{q_s\}_{s \in R_+}\). The stochastic integral is understood in the sense as defined by the authors [J. Multivariate Anal. 34, No. 2, 185-210 (1990; Zbl 0716.60056)]. It is proved that if \(M = (M_t)_t\), \(M_t : \Psi \mapsto L^0\) is a continuous weak martingale with the Doob-Meyer process \(\langle M(g) \rangle_t = \int^t_0 q^2_s (Y_s'g) ds\), \(g \in \Psi\), then there exists a Wiener process \(W\) associated with \(\{q_s\}_s\), in general on an extended probability space, such that \(M_t = \int^t_0 Y_s dW_s\). A new proof of the analogous theorem for the cylindrical Brownian motion in a Hilbert space is also given.
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inhomogeneous Wiener process
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stochastic integral
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cylindrical Brownian motion
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