Cylindrical fractional Brownian motion in Banach spaces

DOI10.1016/J.SPA.2014.05.010MaRDI QIDQ404580zbMATH OpenOpenAlexWikidataFDO

Authors E. Issoglio, M. Riedle

Publication date 4 September 2014

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

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

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)

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.

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Cited in

(8)

• Stochastic integration with respect to the cylindrical Wiener process via regularization
• Cylindrical Wiener processes
• Karhunen-Loève expansion for stochastic convolution of cylindrical fractional Brownian motions
• 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

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