Fractional white noise calculus in infinite dimensions

DOI10.1515/ROSE-2014-0018MaRDI QIDQ742072zbMATH OpenOpenAlexFDO

Authors Wilfried Grecksch, Christian Roth

Publication date 17 September 2014

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

Full work available at URL https://doi.org/10.1515/rose-2014-0018

zbMATH Keywords

\(Q\)-fractional Brownian motion\(Q\)-fractional Itō formulafractional white noiseMalliavin derivativestochastic integralWick product

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) White noise theory (60H40)

Review text

Fractional Brownian motion with parameter \(h\in(0,1)\) is related to classical Brownian motion via the Riesz potential operator \(M_h\) defined by its Fourier transform \(\widehat{M_h f}(\xi)=|\xi|^{\frac12-h}\hat{f}(\xi)\). In the framework of white noise analysis and the Wiener Itō chaos expansion theory, a simple change of the orthogonal basis consisting of Hermite functions \(\xi_n\), \(n\in\mathbb N\), into \(\eta_n=M_h^{-1}(\xi_n)\), \(n\in\mathbb N\), yields a new orthogonal basis for the space of fractional white noise. In the present paper, the authors extend this concept to the theory of stochastic processes with values in a separable Hilbert space and develop a fractional white noise calculus (including Itō isometry, Malliavin derivative, Wick product and stochastic integral).

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(9)

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• Fedosov Quantization in White Noise Analysis
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