Elementary processes for Itô Integral against cylindrical Wiener process - Université de La Réunion Access content directly
Journal Articles Probability Surveys Year : 2023

Elementary processes for Itô Integral against cylindrical Wiener process

Abstract

In this article, I present different definitions of elementary processes which lead to definitions of Itô integrals against cylindrical Wiener processes. I prove the equivalence between those definitions by constructing this Itô integral using only Itô isometries and extensions by density. Then, from the perspective of white noise theory and Kondratiev spaces, I compare the definitions of cylindrical Wiener processes, and present a link between Itô integral and cylindrical white noise.
Fichier principal
Vignette du fichier
23-PS23.pdf (395.76 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-04489829 , version 1 (05-03-2024)

Licence

Attribution

Identifiers

Cite

Sylvain Dotti. Elementary processes for Itô Integral against cylindrical Wiener process. Probability Surveys, 2023, 20, ⟨10.1214/23-ps23⟩. ⟨hal-04489829⟩
3 View
2 Download

Altmetric

Share

Gmail Facebook X LinkedIn More