Brownian motion, diffusions and infinite dimensional calculus

2006 ◽  
pp. 130-169 ◽  
Author(s):  
Hui-Hsiung Kuo
Keyword(s):  
Brownian Motion ◽  
Infinite Dimensional

scholarly journals Infinite dimensional rotations and Laplacians in terms of white noise calculus

1992 ◽  
Vol 128 ◽  
pp. 65-93 ◽  
Author(s):  
Takeyuki Hida ◽  
Nobuaki Obata ◽  
Kimiaki Saitô
Keyword(s):  
Brownian Motion ◽  
White Noise ◽  
Quantum Physics ◽  
Variational Calculus ◽  
Rotation Group ◽  
Infinite Dimensional ◽  
Lévy Laplacian ◽  
White Noise Functionals ◽  
White Noise Calculus

The theory of generalized white noise functionals (white noise calculus) initiated in [2] has been considerably developed in recent years, in particular, toward applications to quantum physics, see e.g. [5], [7] and references cited therein. On the other hand, since H. Yoshizawa [4], [23] discussed an infinite dimensional rotation group to broaden the scope of an investigation of Brownian motion, there have been some attempts to introduce an idea of group theory into the white noise calculus. For example, conformal invariance of Brownian motion with multidimensional parameter space [6], variational calculus of white noise functionals [14], characterization of the Levy Laplacian [17] and so on.

scholarly journals A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

2020 ◽  
Vol 23 (03) ◽  
pp. 2050020
Author(s):  
DAVID CRIENS
Keyword(s):  
Brownian Motion ◽  
Real World ◽  
Random Measure ◽  
Jump Condition ◽  
Poisson Random Measure ◽  
Change Of Measure ◽  
The Real ◽  
Infinite Dimensional ◽  
Risk Neutral ◽  
Equivalent Change Of Measure

We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.

White noise delta functions and infinite-dimensional Laplacians

2020 ◽  
pp. 2050028
Author(s):  
Luigi Accardi ◽  
Ai Hasegawa ◽  
Un Cig Ji ◽  
Kimiaki Saitô
Keyword(s):  
Brownian Motion ◽  
White Noise ◽  
Time Derivative ◽  
Delta Function ◽  
Itô Formula ◽  
Ito Formula ◽  
Infinite Dimensional ◽  
Delta Functions ◽  
Definition Of ◽  
White Noise Distribution

In this paper, we introduce a new white noise delta function based on the Kubo–Yokoi delta function and an infinite-dimensional Brownian motion. We also give a white noise differential equation induced by the delta function through the Itô formula introducing a differential operator directed by the time derivative of the infinite-dimensional Brownian motion and an extension of the definition of the Volterra Laplacian. Moreover, we give an extension of the Itô formula for the white noise distribution of the infinite-dimensional Brownian motion.

scholarly journals Brownian motion on stationary random manifolds

2016 ◽  
Vol 16 (02) ◽  
pp. 1660001
Author(s):  
Pablo Lessa
Keyword(s):  
Brownian Motion ◽  
Harmonic Functions ◽  
Dimensional Space ◽  
Volume Growth ◽  
Upper And Lower Bounds ◽  
Entropy Theory ◽  
Liouville Property ◽  
Average Volume ◽  
Infinite Dimensional ◽  
Bounded Harmonic Functions

We introduce the notion of a stationary random manifold and develop the basic entropy theory for it. Examples include manifolds admitting a compact quotient under isometries and generic leaves of a compact foliation. We prove that the entropy of an ergodic stationary random manifold is zero if and only if the manifold satisfies the Liouville property almost surely, and is positive if and only if it admits an infinite dimensional space of bounded harmonic functions almost surely. Upper and lower bounds for the entropy are provided in terms of the linear drift of Brownian motion and average volume growth of the manifold. Other almost sure properties of these random manifolds are also studied.

Lp-Theory for the fractional time stochastic heat equation with an infinite-dimensional fractional Brownian motion

2021 ◽  
Vol 24 (02) ◽  
pp. 2150010
Author(s):  
Jingqi Han ◽  
Litan Yan
Keyword(s):  
Brownian Motion ◽  
Heat Equation ◽  
Fractional Brownian Motion ◽  
Stochastic Heat Equation ◽  
Index Formula ◽  
Hurst Index ◽  
Skorohod Integral ◽  
Fractional Brownian Motions ◽  
Infinite Dimensional ◽  
Lp Theory

In this paper, we study the [Formula: see text]-theory of the fractional time stochastic heat equation [Formula: see text] where [Formula: see text], [Formula: see text], [Formula: see text] denotes the Caputo derivative of order [Formula: see text], and [Formula: see text] is a sequence of i.i.d. fractional Brownian motions with a same Hurst index [Formula: see text]. The integral with respect to fractional Brownian motion is the Skorohod integral. By using the Malliavin calculus techniques and fractional calculus, we obtain a generalized Littlewood–Paley inequality, and prove the existence and uniqueness of [Formula: see text]-solution to such equation.

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