Cylindrical fractional Brownian motion in Banach spaces

DOI10.1016/J.SPA.2014.05.010zbMATH Open1296.60093arXiv1307.4992OpenAlexW2075841206WikidataQ57949994 ScholiaQ57949994MaRDI QIDQ404580FDOQ404580

M. Riedle, E. Issoglio

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this article we introduce cylindrical fractional Brownian motions in Banach spaces and develop the related stochastic integration theory. Here a cylindrical fractional Brownian motion is understood in the classical framework of cylindrical random variables and cylindrical measures. The developed stochastic integral for deterministic operator valued integrands is based on a series representation of the cylindrical fractional Brownian motion, which is analogous to the Karhunen-Lo`eve expansion for genuine stochastic processes. In the last part we apply our results to study the abstract stochastic Cauchy problem in a Banach space driven by cylindrical fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1307.4992

Recommendations

• STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
• Stochastic integration with respect to fractional processes in Banach spaces
• Stochastic integration of functions with values in a Banach space
• Stochastic differential equations in a Banach space driven by the cylindrical Wiener process
• Ornstein-Uhlenbeck processes driven by cylindrical Lévy processes

zbMATH Keywords

stochastic partial differential equationscylindrical measuresstochastic integration in Banach spacesfractional Ornstein-Uhlenbeck process\(\gamma\)-radonifyingcylindrical fractional Brownian motion

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Cites Work

• The Malliavin Calculus and Related Topics
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic Equations in Infinite Dimensions
• A parabolic stochastic differential equation with fractional Brownian motion input
• Evolution equations driven by a fractional Brownian motion
• Stochastic evolution equations with fractional Brownian motion
• Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
• Stochastic calculus for fractional Brownian motion and related processes.
• Title not available (Why is that?)
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Semilinear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion
• Title not available (Why is that?)
• Stochastic Calculus for Fractional Brownian Motion and Applications
• STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
• Stochastic calculus with respect to Gaussian processes
• Title not available (Why is that?)
• Young integrals and SPDEs
• Stochastic integration in UMD Banach spaces
• Title not available (Why is that?)
• Malliavin calculus and decoupling inequalities in Banach spaces
• Integration questions related to fractional Brownian motion
• On stochastic convolution in banach spaces and applications
• Title not available (Why is that?)
• Linear stochastic equations in a Hilbert space with a fractional Brownian motion
• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• Title not available (Why is that?)
• Stochastic integration of functions with values in a Banach space
• L_p-theory for the stochastic heat equation with infinite-dimensional fractional noise
• Fractional Brownian motion: stochastic calculus and applications
• Séminaire sur les fonctions aléatoires linéaires et les mesures cylindriques
• Stochastic integration for Lévy processes with values in Banach spaces
• Itô formula for the infinite-dimensional fractional Brownian motion
• Stochastic evolution equations driven by Liouville fractional Brownian motion
• Cylindrical Lévy processes in Banach spaces
• Cylindrical Wiener Processes
• Stochastic convolution in separable Banach spaces and the stochastic linear Cauchy problem
• Gradient-type noises I–partial and hybrid integrals

Cited In (5)

• Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces
• Nonexistence of fractional Brownian fields indexed by cylinders
• \(\mathbb{L}^p\)-solutions of deterministic and stochastic convective Brinkman-Forchheimer equations
• Stochastic integration with respect to fractional processes in Banach spaces
• Semimartingales on duals of nuclear spaces

This page was built for publication: Cylindrical fractional Brownian motion in Banach spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q404580)