Cylindrical Wiener processes

DOI10.1007/978-3-642-15217-7_7zbMATH Open1228.60049arXiv0802.2261OpenAlexW2157621371MaRDI QIDQ3086798FDOQ3086798

Authors: M. Riedle 

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Abstract: In this work cylindrical Wiener processes on Banach spaces are defined by means of cylindrical stochastic processes, which are a well considered mathematical object. This approach allows a definition which is a simple straightforward extension of the real-valued situation. We apply this definition to introduce a stochastic integral with respect to cylindrical Wiener processes. Again, this definition is a straightforward extension of the real-valued situation which results now in simple conditions on the integrand. In particular, we do not have to put any geometric constraints on the Banach space under consideration. Finally, we relate this integral to well-known stochastic integrals in literature.

Full work available at URL: https://arxiv.org/abs/0802.2261

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zbMATH Keywords

reproducing kernel Hilbert spacestochastic differential equationstochastic integralcylindrical processcylindrical Wiener processcylindrical measureradonifying operator

Mathematics Subject Classification ID

Gaussian processes (60G15) Probability theory on linear topological spaces (60B11) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

Cited In (19)

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• Extension to infinite dimensions of a stochastic second-order model associated with shape splines
• Cylindrical fractional Brownian motion in Banach spaces
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• SPDE bridges with observation noise and their spatial approximation
• Non-Standard Skorokhod Convergence of Lévy-Driven Convolution Integrals in Hilbert Spaces

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