White Noise Based Stochastic Calculus Associated With a Class of Gaussian Processes

Authors

Daniel Alpay, Chapman UniversityFollow
Haim Attia, Sami Shamoon College of Engineering
David Levanony, Ben Gurion University of the Negev

Document Type

Article

Publication Date

2012

Abstract

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.

Comments

This article was originally published in Opuscula Mathematica, volume 32, issue 3, in 2012. DOI: 10.7494/OpMath.2012.32.3.401

Recommended Citation

D. Alpay, H. Attia and D. Levanony. White noise based stochastic calculus associated with a class of Gaussian processes. Opuscula Mathematica, vol. 32/3 (2012), pp. 401-422.

Peer Reviewed

1

Copyright

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