On the relationship between Wick calculus and stochastic integration in the Levy white noise analysis

被引:3
|
作者
Frei, Maria M. [1 ]
Kachanovsky, Nikolai A. [2 ]
机构
[1] Precarpathian Natl Univ, 57 Shevchenka Str, UA-76025 Ivano Frankivsk, Ukraine
[2] NASU, Inst Math, 3 Tereshchenkivska Str, UA-01601 Kiev, Ukraine
关键词
Levy process; Extended stochastic integral; Wick product; GENERALIZED-FUNCTIONS; SPACES; DIFFERENTIATION; OPERATORS; DECOMPOSITIONS;
D O I
10.1007/s40879-019-00317-8
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
We deal with Lytvynov's generalization of the chaotic representation property and the corresponding spaces of regular generalized functions in the Levy white noise analysis. Our goal is to find a relationship between the Wick calculus and stochastic integration on these spaces. In particular, we consider the Wick multiplication (a natural multiplication on spaces of generalized functions) under the sign of the stochastic integral, and construct a formal representation of the extended stochastic integral via the Pettis integral, using the Wick product. As application of our results, we consider some stochastic equations with Wick type nonlinearities.
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页码:179 / 196
页数:18
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