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2023 Elementary processes for Itô Integral against cylindrical Wiener process
Sylvain Dotti
Author Affiliations +
Probab. Surveys 20: 802-836 (2023). DOI: 10.1214/23-PS23
Abstract

In this article, I present different definitions of elementary processes which lead to definitions of Itô integrals against cylindrical Wiener processes. I prove the equivalence between those definitions by constructing this Itô integral using only Itô isometries and extensions by density. Then, from the perspective of white noise theory and Kondratiev spaces, I compare the definitions of cylindrical Wiener processes, and present a link between Itô integral and cylindrical white noise.

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Sylvain Dotti "Elementary processes for Itô Integral against cylindrical Wiener process," Probability Surveys 20(none), 802-836, (2023). https://doi.org/10.1214/23-PS23
Received: 1 August 2022; Published: 2023
Vol.20 • 2023
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