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

DOI10.7494/OPMATH.2012.32.3.401MaRDI QIDQ2901959zbMATH OpenFDO

Authors Haim Attia, David Levanony, Daniel Alpay

Publication date 31 July 2012

Published in Opuscula Mathematica (Search for Journal in Brave)

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

zbMATH Keywords

Gaussian processesWick productstochastic integralsRiemannian sumswhite noise spaceKondratiev stochastic distributionItô formula

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)

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.

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