White noise differential equations for vector-valued white noise functionals (Q2218274)

The authors construct a vector-valued white noise space as a Gel'fand triplet \(\mathcal{W}_\alpha\otimes\mathcal{E}\subset \Gamma(H)\otimes K\subset (\mathcal{W}_\alpha\otimes\mathcal{E})^*\), where \(\mathcal{E}\) is a countably Hilbert space. If the latter is equipped with a continuous bilinear mapping \({\mathfrak B}:\mathcal{E}^*\times\mathcal{E}^*\rightarrow\mathcal{E}^*\), then it can be used to construct a vector-valued Wick-type product \(\lozenge_{{\mathfrak B}}\) that the authors call \({\mathfrak B}\)-Wick product. As an application they study an abstract white noise differential functional equation of the form \(\frac{d}{dt}\Phi(t)=F(t,\Phi(t))\) together with the initial condition \(\Phi(0)=\Phi_0\), where \(F:[0,T]\times(\mathcal{W}_\alpha\otimes\mathcal{E})^*\rightarrow (\mathcal{W}_\alpha\otimes\mathcal{E})^*\) and \(\Phi_0\in (\mathcal{W}_\beta\otimes\mathcal{E})^*\). Under certain Lipschitz continuity and growth conditions on \(F\) and a certain relation between the weight factors \(\alpha,\beta\), they prove the existence of a unique solution \(\Phi(t) \in (\mathcal{W}_\alpha\otimes\mathcal{E})^*\) using the analytic characterization theorem for the \(S-\)transform. The second initial value problem studied in the paper is a Wick-type equation of the form \(\frac{d}{dt}\Phi_t=L_t\lozenge_{{\mathfrak B}}\Phi_t+M_t\), \(\Phi|_{t=0}=\Phi_0\), where \(L,M:[0,T]\rightarrow (\mathcal{W}_\beta\otimes\mathcal{E})^*\) are continuous stochastic processes and \(\Phi_0\in (\mathcal{W}_\beta\otimes\mathcal{E})^*\).