Stochastic integration with respect to cylindrical Lévy processes in Hilbert spaces: an L^2 approach

DOI10.1142/S0219025714500088MaRDI QIDQ5414985zbMATH OpenFDO

Authors M. Riedle

Publication date 8 May 2014

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

Full work available at URL https://arxiv.org/abs/1207.2634

zbMATH Keywords

cylindrical processHilbert spaceLévy processstochastic integrationstochastic partial differential equation

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random operators and equations (aspects of stochastic analysis) (60H25)

Abstract: In this work stochastic integration with respect to cylindrical Levy processes with weak second moments is introduced. It is well known that a deterministic Hilbert-Schmidt operator radonifies a cylindrical random variable, i.e. it maps a cylindrical random variable to a classical Hilbert space valued random variable. Our approach is based on a generalisation of this result to the radonification of the cylindrical increments of a cylindrical Levy process by random Hilbert-Schmidt operators. This generalisation enables us to introduce a Hilbert space valued random variable as the stochastic integral of a predictable stochastic process with respect to a cylindrical Levy process. We finish this work by deriving an Ito isometry and by considering shortly stochastic partial differential equations driven by cylindrical Levy processes.

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Cited in

(23)

• Existence of continuous and càdlàg versions for cylindrical processes in the dual of a nuclear space
• A comparison of two settings for stochastic integration with respect to Lévy processes in infinite dimensions
• The Itō integral with respect to an infinite dimensional Lévy process: a series approach
• Variational solutions of stochastic partial differential equations with cylindrical Lévy noise
• Stochastic integration with respect to cylindrical semimartingales
• Stochastic integration with respect to canonical -stable cylindrical Lévy processes
• Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process
• Stochastic integration with respect to cylindrical Lévy processes by p-summing operators
• Ornstein-Uhlenbeck processes driven by cylindrical Lévy processes
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• Stochastic turbulence for Burgers equation driven by cylindrical Lévy process
• Radonification of a cylindrical Lévy process
• Stochastic integration respect a cylindrical martingale-Lévy process with second moments
• Stochastic integration with respect to cylindrical Lévy processes

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