scientific article; zbMATH DE number 19585

DOI10.1007/BFB0100866MaRDI QIDQ3979074zbMATH OpenFDO

Authors Shigeyoshi Ogawa

Publication date 26 June 1992

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=SPS_1991__25__324_0, https://eudml.org/doc/113768

zbMATH Keywords

Brownian sheetnoncausal stochastic calculusrandom fieldssample propertiesstochastic integral equation

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Review text

[For the entire collection see Zbl 0733.00018.] One simple aspect of the stochastic integral equation is that it transforms a fundamental process like the Brownian motion into another process of more compound natures. Standing at this viewpoint, we are inevitably led to consider a stochastic integral equation for the processes with multidimensional variables, namely for the random fields. Since there is no natural order in the multidimensional space \(R^ p\), we readily see that such equations should be treated in the framework of the noncausal stochastic calculus, introduced by the author [C. R. Acad. Sci., Paris, Sér. A 288, 359-362 (1979; Zbl 0397.60047)]. What we are going to do in this note is the first attempt on this subject. We will show some basic results concerning the question of existence and uniqueness of solutions as well as their sample properties.

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