Fock factorizations, and decompositions of theL2spaces over general Lévy processes

DOI10.1070/RM2003V058N03ABEH000627zbMATH Open1060.46056arXivmath/0304282OpenAlexW2026830409WikidataQ114102359 ScholiaQ114102359MaRDI QIDQ4829612FDOQ4829612

Authors: A. M. Vershik, Natalia Tsilevich 

Publication date: 29 November 2004

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Abstract: We explicitly construct and study an isometry between the spaces of square integrable functionals of an arbitrary Levy process and a vector-valued Gaussian white noise. In particular, we obtain explicit formulas for this isometry at the level of multiplicative functionals and at the level of orthogonal decompositions, as well as find its kernel. We consider in detail the central special case: the isometry between the $L^2$ spaces over a Poisson process and the corresponding white noise. The key role in our considerations is played by the notion of measure and Hilbert factorizations and related notions of multiplicative and additive functionals and logarithm. The obtained results allow us to introduce a canonical Fock structure (an analogue of the Wiener--Ito decomposition) in the $L^2$ space over an arbitrary Levy process. An application to the representation theory of current groups is considered. An example of a non-Fock factorization is given.

Full work available at URL: https://arxiv.org/abs/math/0304282

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zbMATH Keywords

Poisson processGaussian white noiseLévy processFock structure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of functional analysis in probability theory and statistics (46N30) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) White noise theory (60H40) Infinite-dimensional groups and algebras motivated by physics, including Virasoro, Kac-Moody, (W)-algebras and other current algebras and their representations (81R10) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Measures, integration, derivative, holomorphy (all involving infinite-dimensional spaces) (46G99)

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• On the relationship between Wick calculus and stochastic integration in the Lévy white noise analysis
• A chaotic decomposition for generalized stochastic processes with independent values

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