Stochastic Integral with respect to Cylindrical Wiener Process

Details Stochastic Integral with respect to Cylindrical Wiener Process Stochastic Integral with respect to Cylindrical Wiener Process

2005-11-21

arxiv.org/abs/math/0511512v1

Annales Universitatis Marie Curie-Sklodowska, Sectio A, Mathematica LII 2, 9 (1998) 79-93

Mathematics

Probability

15 pages

Scientific paper

This paper is devoted to a construction of the stochastic It\^o integral with
respect to infinite dimensional cylindrical Wiener process. The construction
given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The
connection of the introduced integral with the integral defined by Walsh [9] is
provided as well.

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