Fractional white noise calculus in infinite dimensions (Q742072)
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Fractional white noise calculus in infinite dimensions (English)
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17 September 2014
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Fractional Brownian motion with parameter \(h\in(0,1)\) is related to classical Brownian motion via the Riesz potential operator \(M_h\) defined by its Fourier transform \(\widehat{M_h f}(\xi)=|\xi|^{\frac12-h}\hat{f}(\xi)\). In the framework of white noise analysis and the Wiener Itō chaos expansion theory, a simple change of the orthogonal basis consisting of Hermite functions \(\xi_n\), \(n\in\mathbb N\), into \(\eta_n=M_h^{-1}(\xi_n)\), \(n\in\mathbb N\), yields a new orthogonal basis for the space of fractional white noise. In the present paper, the authors extend this concept to the theory of stochastic processes with values in a separable Hilbert space and develop a fractional white noise calculus (including Itō isometry, Malliavin derivative, Wick product and stochastic integral).
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fractional white noise
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\(Q\)-fractional Brownian motion
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\(Q\)-fractional Itō formula
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Malliavin derivative
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Wick product
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stochastic integral
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