A direct inversion formula for SFT (Q2352335)

The subject of the paper is the stochastic Fourier transformation, for short SFT. The paper is a continuation of the author's previous works [C. R. Acad. Sci., Paris, Sér. A 288, 359--362 (1979; Zbl 0397.60047); Japan J. Appl. Math. 2, 229--240 (1985; Zbl 0616.60056); in: Patterns and waves. Qualitative analysis of nonlinear differential equations, Stud. Math. Appl. 18, 597--605 (1986; Zbl 0622.60070); Stochastics 85, No. 2, 286--294 (2013; Zbl 1292.60056); with \textit{H. Uemura}, J. Theor. Probab. 27, No. 2, 370--382 (2014; Zbl 1296.60141); with \textit{H. Uemura}, Bull. Sci. Math. 138, No. 1, 147--163 (2014; Zbl 1294.60079)]. The question stated by the author was whether and how a random function can be determined by its image of SFT. In the previous papers, the author obtained some affirmative answers to this question. Among others, the answers are given in such heavy framework as homogeneous chaos. The aim of the current paper is to give an elementary approach to the invertibility of the SFT. The main result is formulated in Theorem 1. It gives the direct inversion formula for nonnegative so-called causal random functions, whose stochastic Fourier coefficients are defined by an Itō integral. The proof of the main result is given in detail. The second interesting result of the paper is given in Proposition 3.2, where some equality for the so-called natural SFT is formulated. In the remaining part of the paper, some different types of SFTs are discussed. In this part, Proposition 4.2 giving integration by parts is introduced. From this result, it may be confirmed that the equality from Proposition 3.2 holds true even for the case of noncausal functions. The paper finishes with 17 references representative for the considered problems.