Stochastic integrals and Gelfand integration in Fréchet spaces

DOI10.1142/S0219025722500072MaRDI QIDQ5083410zbMATH OpenOpenAlexWikidataFDO

Authors Fred Espen Benth, Luca Galimberti

Publication date 20 June 2022

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2103.08171

zbMATH Keywords

Fréchet spacesGelfand integralstochastic integrationwhite noise analysis

Mathematics Subject Classification ID

Distributions on infinite-dimensional spaces (46F25) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We provide a detailed analysis of the Gelfand integral on Fr'echet spaces, showing among other things a Vitali theorem, dominated convergence and a Fubini result. Furthermore, the Gelfand integral commutes with linear operators. The Skorohod integral is conveniently expressed in terms of a Gelfand integral on Hida distribution space, which forms our prime motivation and example. We extend several results of Skorohod integrals to a general class of pathwise Gelfand integrals. For example, we provide generalizations of the Hida-Malliavin derivative and extend the integration-by-parts formula in Malliavin Calculus. A Fubini-result is also shown, based on the commutative property of Gelfand integrals with linear operators. Finally, our studies give the motivation for two existing definitions of stochastic Volterra integration in Hida space.

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(2)

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