TY - JOUR
AU - Kachanovsky, N.A.
PY - 2024/05/11
Y2 - 2024/11/02
TI - Wick multiplication and its relationship with integration and stochastic differentiation on spaces of nonregular test functions in the Lévy white noise analysis
JF - Carpathian Mathematical Publications
JA - Carpathian Math. Publ.
VL - 16
IS - 1
SE - Scientific articles
DO - 10.15330/cmp.16.1.61-83
UR - https://journals.pnu.edu.ua/index.php/cmp/article/view/6697
SP - 61-83
AB - <p>We deal with spaces of nonregular test functions in the Lévy white noise analysis, which are constructed using Lytvynov's generalization of a chaotic representation property. Our goal is to study properties of a natural multiplication $-$ a Wick multiplication on these spaces, and to describe the relationship of this multiplication with integration and stochastic differentiation. More exactly, we establish that the Wick product of nonregular test functions is a nonregular test function; show that when employing the Wick multiplication, it is possible to take a time-independent multiplier out of the sign of a generalized stochastic integral; establish an analog of this result for a Pettis integral (a weak integral); obtain a representation of the generalized stochastic integral via formal Pettis integral from the Wick product of the original integrand by a Lévy white noise; and prove that the operator of stochastic differentiation of first order on the spaces of nonregular test functions satisfies the Leibnitz rule with respect to the Wick multiplication.</p>
ER -