On a stochastic Fourier coefficient: case of noncausal functions

DOI10.1007/S10959-012-0464-XMaRDI QIDQ2248928zbMATH OpenOpenAlexFDO

Authors Shigeyoshi Ogawa, Hideaki Uemura

Publication date 27 June 2014

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-012-0464-x

zbMATH Keywords

Fourier seriesnoncausal functionSkorokhod integralWiener chaos

Mathematics Subject Classification ID

Probabilistic methods for one variable harmonic analysis (42A61) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Review text

Consider on the Wiener space a square integrable process \(f(t,\omega)\), \(0\leq t\leq1\), which is not necessarily adapted, and define its stochastic Fourier coefficients \(\int_0^1f(t,.)\overline{\phi_n(t)}dW_t\) where the integral is understood as a Skorohod integral, and where \((\phi_n(t))\) is the classical orthonormal basis of \([0,1]\) consisting of trigonometric functions. The main theorem states that under square integrability of the Malliavin derivative of \(f\), then \(f\) can be reconstructed from its stochastic Fourier coefficients. Then the result is extended to other bases \((\phi_n)\).

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Cites work

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• scientific article; zbMATH DE number 19585 (Why is no real title available?)
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Cited in

(9)

• Some aspects of strong inversion formulas of an SFT
• Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients
• On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients
• A direct inversion formula for SFT
• Identification of a noncausal Itô process from the stochastic Fourier coefficients
• Reconstruction of a noncausal function from its SFCs by Bohr convolution
• NOTE ON FOURIER–STIELTJES COEFFICIENTS OF COIN-TOSSING MEASURES
• On a stochastic Fourier transformation
• On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation

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