White noise based stochastic calculus associated with a class of Gaussian processes

Opuscula Mathematica

David Levanony¹  Daniel Alpay²  Haim Attia³ 

[1] Ben Gurion University of the Negev, Department of Electrical Engineering, P.O.B. 653, Be'er Sheva 84105, Israel;Ben Gurion University of the Negev, Department of Mathematics, P.O.B. 653, Be'er Sheva 84105, Israel;Sami Shamoon College of Engineering, Department of Mathematics, Be'er Sheva 84100, Israel;

关键词: white noise space;    Wick product;    stochastic integral;   

DOI  :  http://dx.doi.org/10.7494/OpMath.2012.32.3.401

来源: DOAJ

【 摘 要 】

Using the white noise space setting, we define and study stochastic integrals with respect to a class of stationary increment Gaussian processes. We focus mainly on continuous functions with values in the Kondratiev space of stochastic distributions, where use is made of the topology of nuclear spaces. We also prove an associated Ito formula.

【 授权许可】

Unknown