Ito stochastic integral in the dual of a nuclear space
Ito's definition of the stochastic integral with respect to a Wiener process in the dual of a nuclear space is simplified and slightly generalized. This definition yields a completely intrinsic description of the class of random, operator-valued integrands. For a large class of spaces (e.g. for Schwartz distribution spaces) any time-inhomogeneous Wiener process is proved to have a representation as the stochastic integral with respect to a homogeneous (standard) Wiener process. A relation between this definition of stochastic integral and the notion of isometric integral in Hilbert spaces, defined by Metivier, is established.
Year of publication: |
1989
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Authors: | Bojdecki, Tomasz ; Jakubowski, Jacek |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 40-58
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Publisher: |
Elsevier |
Keywords: | stochastic integral separable Hilbertian seminorm multi-Hilbertian space nuclear space Wiener process in the dual of a nuclear space |
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