scientific article; zbMATH DE number 1278026

MaRDI QIDQ4239175zbMATH OpenFDO

Authors Hisaharu Umegaki

Publication date 29 April 1999

zbMATH Keywords

\(L^2\)-continuous stochastic processconditional expectation in operator algebraKarhunen-Loéve expansionnoncommutative operator conditional expectationsoperator martingalestochastic process

Mathematics Subject Classification ID

Noncommutative probability and statistics (46L53) Quantum stochastic calculus (81S25)

Review text

In line with the notion of conditional expectation in operator algebra which was introduced by \textit{H. Umegaki} [Tôhoku Math. J., II. Ser. 8, 86-100 (1956; Zbl 0072.12501)], the author discusses the formulation to connect a general stochastic process with the discrete case of noncommutative operator conditional expectations. In fact, he derives the Karhunen-Loéve expansion that an \(L^2\)-continuous stochastic process \(\xi(t)\), \(t\in\Gamma= [a,b]\) is expressed as the \(L^2\)-uniform limit of the finite sum where the variables \(t\), \(\omega\) are separated by two distinct complete orthonormal systems \(\{e_n\}\), \(\{\eta_n\}\) associated with the process \(\xi\), i.e., \[ \lim_{n\to\infty} \sup_{t\in\Gamma} \int\Biggl| \xi(t,\omega)- \sum^n_{k=1} p(e_k) e_k(t)\eta_k(\omega)\Biggr|^2 dP= 0. \]

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