White noise based stochastic calculus associated with a class of Gaussian processes (Q2901959)

The purpose is to define a stochastic integral and integrating processes taking values in some space of stochastic distributions, namely the so-called Kondratiev space \(S_{-1}\); as integrator some Gaussian process \(X_n(t)\) having stationary increments is taken (\(X_n\) can be a fractional Brownian motion, for example).NEWLINENEWLINE The so-called Vage inequality allows to extend continuously the Wick product (defined for Hermite polynomials \(H_\alpha\) by \(H_\alpha\diamondsuit H_\beta:= H_{\alpha+\beta}\)) to Kondratiev stochastic distributions, to which the distributional derivative \(X_m'(t)\) pertains.NEWLINENEWLINE Therefore, the authors can define an Itô-Skorokhod-like stochastic integral as \(\int^t_0 Y(t)\diamondsuit dX_m(t)\). Then, they show that such Wick integral is also the \(S_{-1}\)-limit of the Riemannian sums \(\sum_i Y(t_i)(X_m(t_{i+1})- X_m(t_i))\), and, finally, they prove that the following Itô formula holds almost surely NEWLINE\[NEWLINEdf(X_m(t))= f'(X_m(t))\diamondsuit dX_m(t)+ {1\over 2} f''(X_m(t))\,dr(t),NEWLINE\]NEWLINE where \(r(t)\) denotes the Lévy-Khintchine function associated to the covariance function of \(X_m(t)\).