Stochastic integrals and evolution equations with Gaussian random fields

DOI10.1007/S00245-008-9051-ZMaRDI QIDQ2272165zbMATH OpenOpenAlexFDO

Publication date 6 August 2009

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0710.2506

chaos expansion generalized random field stochastic evolution equation

Abstract: The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic integrands. The problem is then to extend the definition to random integrands. An orthogonal decomposition of the chaos space of the random field, combined with the Wick product, leads to the Ito-Skorokhod integral, and provides an efficient tool to study the integral, both analytically and numerically. For a Gaussian process, a natural definition of the integral follows from a canonical correspondence between random processes and a special class of random fields. Some examples of the corresponding stochastic differential equations are also considered.

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Let \(V\) be a linear topological space over the real numbers \(\mathbb R\). A generalized random field over \(V\) is defined as a mapping \({\mathcal H}:\Omega\times V\to \mathbb R\) with the following properties: {\parindent=6mm \begin{itemize}\item[{\(\bullet\)}]for every \(f\in V\), \({\mathcal H}(f)={\mathcal H}(\cdot, f)\) is a random variable; \item[{\(\bullet\)}]for every \(\alpha,\beta\in \mathbb{R}\) and \(f,g\in V\), \({\mathcal H}(\alpha f+\beta g)= \alpha{\mathcal H}(f)+ \beta{\mathcal H}(g)\); \item[{\(\bullet\)}]if \(\lim_{n\to\infty} f_n= f\) in the topology of \(V\), then \(\lim_{n\to\infty}{\mathcal H}(f_n)={\mathcal H}(f)\) in probability. \end{itemize}} The generalized random field \({\mathcal H}\) is called: {\parindent=6mm \begin{itemize}\item[{\(\bullet\)}]zero-mean, if \(E{\mathcal H}(f)= 0\) for all \(f\in V\); \item[{\(\bullet\)}] Gaussian if the random variable \({\mathcal H}(f)\) is Gaussian for every \(f\in V\). \end{itemize}} The authors consider zero-mean generalized Gaussian fields over Hilbert space \(H\). They study the connection between generalized Gaussian fields over \(L_2((0, T))\) and processes that are representable in the form \[ \int^t_0 K(t, s)dW(s). \] The authors investigate stochastic integrals with respect to arbitrary Gaussian processes and fields using chaos expansion and study the corresponding stochastic evolution equations. They study also more general stochastic evolution equations and establish the corresponding stochastic parabolicity conditions.

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