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http://dx.doi.org/10.14317/jami.2016.167

STOCHASTIC INTEGRAL OF PROCESSES TAKING VALUES OF GENERALIZED OPERATORS  

CHOI, BYOUNG JIN (Department of Mathematics, Sungkyunkwan University)
CHOI, JIN PIL (Department of Mathematics, Chungbuk National University)
JI, UN CIG (Department of Mathematics, Research institute of Mathematical Finance, Chungbuk National University)
Publication Information
Journal of applied mathematics & informatics / v.34, no.1_2, 2016 , pp. 167-178 More about this Journal
Abstract
In this paper, we study the stochastic integral of processes taking values of generalized operators based on a triple E ⊂ H ⊂ E∗, where H is a Hilbert space, E is a countable Hilbert space and E∗ is the strong dual space of E. For our purpose, we study E-valued Wiener processes and then introduce the stochastic integral of L(E, F∗)-valued process with respect to an E-valued Wiener process, where F∗ is the strong dual space of another countable Hilbert space F.
Keywords
countable Hilbert space; Q-Wiener process; generalized operator; stochastic integral;
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