Banach random walk in the unit ball S l^2 and chaotic decomposition of l^2( S, P)

DOI10.1007/S10959-015-0620-1MaRDI QIDQ501840zbMATH OpenOpenAlexWikidataFDO

Authors Tadeusz Banek

Publication date 10 January 2017

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10959-015-0620-1

zbMATH Keywords

\(l^2\)-unit ballBanach random walkLegendre polynomialsorthogonal expansion

Mathematics Subject Classification ID

Probabilistic methods in Banach space theory (46B09) Sums of independent random variables; random walks (60G50) Special processes (60K99)

Review text

The paper combines Banach's concept of Lebesgue integral in abstract spaces and the expectation with respect to the measure \(\mathbb{P}\) induced by a Banach random walk. The random walk is considered in the unit ball \(S\) in the space \(l_2\). According to Banach's result, one of the very common nonnegative linear functionals defined on \(S\) is the limit of the integral functionals involving the sequence of density functions. The expression for these density functions can be easily reinterpreted in probabilistic terms. The expression of the sequence of pre-limit functionals in terms of the Banach random walk is given, and an orthogonal expansion of square integrable functionals of the Banach random walk in terms of Legendre polynomials is obtained. As a consequence, a decomposition of \(l_2(S,\mathbb{P})\) in terms of Banach chaoses is given.

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Cites work

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Cited in

(5)

• Limit distribution of the Banach random walk
• Random walk in balls and an extension of the Banach integral in abstract spaces
• Measurable functionals and finitely absolutely continuous measures on Banach spaces
• The homogeneous chaos from the standpoint of vector measures
• Banach random walk in acoustics

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