Clark-Ocone formula for generalized functionals of discrete-time normal noises

DOI10.1155/2018/2954695MaRDI QIDQ1746780zbMATH OpenOpenAlexFDO

Authors Shuai Lin, Ailing Huang, Caishi Wang

Publication date 25 April 2018

Published in Journal of Function Spaces (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.13290

zbMATH Keywords

Clark-Ocone formulaFock transform

Mathematics Subject Classification ID

White noise theory (60H40)

Abstract: The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time normal noises. Let $Z$ be a discrete-time normal noise that has the chaotic representation property. We first prove a result concerning the regularity of generalized functionals of $Z$. Then, we use the Fock transform to define some fundamental operators on generalized functionals of $Z$, and apply the above mentioned regularity result to prove the continuity of these operators. Finally, we establish the Clark-Ocone formula for generalized functionals of $Z$, and show its application results, which include the covariant identity result and the variant upper bound result for generalized functionals of $Z$.

Review text

Summary: The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time normal noises. Let \(Z\) be a discrete-time normal noise that has the chaotic representation property. We first prove a result concerning the regularity of generalized functionals of \(Z\). Then, we use the Fock transform to define some fundamental operators on generalized functionals of \(Z\) and apply the abovementioned regularity result to prove the continuity of these operators. Finally, we establish the Clark-Ocone formula for generalized functionals of \(Z\) and show its application results, which include the covariant identity result and the variant upper bound result for generalized functionals of \(Z\).

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Cites work

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(8)

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