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

DOI10.7494/OPMATH.2012.32.3.401zbMATH Open1255.60117arXiv1008.0186MaRDI QIDQ2901959FDOQ2901959

Authors: Haim Attia, David Levanony, Daniel Alpay 

Publication date: 31 July 2012

Published in: Opuscula Mathematica (Search for Journal in Brave)

Abstract: Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spaces. We also prove an associated Ito formula.

Full work available at URL: https://arxiv.org/abs/1008.0186

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zbMATH Keywords

Gaussian processesWick product[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]stochastic integralsRiemannian sumswhite noise spaceKondratiev stochastic distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) White noise theory (60H40) Spaces determined by compactness or summability properties (nuclear spaces, Schwartz spaces, Montel spaces, etc.) (46A11)

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