A characterization of the geometric Brownian motion in terms of infinite dimensional Laplacians

DOI10.1515/ROSE.2011.004zbMath1278.60108OpenAlexW2318619026MaRDI QIDQ4923212

Kimiaki Saitô, Allanus H. Tsoi, Issei Kitagawa

Publication date: 6 June 2013

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2011.004

zbMATH Keywords

geometric Brownian motioninfinite dimensional LaplaciansGaussian white noise space

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40)

Cites Work

• Calculus on Gaussian white noise. I
• Lévy Laplacian of generalized functions on a nuclear space
• A New Class of White Noise Generalized Functions
• A C₀-Group Generated by the Lévy Laplacian II
• CAUCHY PROBLEMS ASSOCIATED WITH THE LÉVY LAPLACIAN IN WHITE NOISE ANALYSIS
• A SIMILARITY BETWEEN THE GROSS LAPLACIAN AND THE LÉVY LAPLACIAN
• RENORMALIZED HIGHER POWERS OF WHITE NOISE (RHPWN) AND CONFORMAL FIELD THEORY

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