Stochastic Integrals and Evolution Equations with Gaussian Random Fields

Details Stochastic Integrals and Evolution Equations with Gaussian Random Fields Stochastic Integrals and Evolution Equations with Gaussian Random Fields

2007-10-12

arxiv.org/abs/0710.2506v1

Mathematics

Probability

Scientific paper

The paper studies stochastic integration with respect to Gaussian processes and fields. It is more convenient to work with a field than a process: by definition, a field is a collection of stochastic integrals for a class of deterministic integrands. The problem is then to extend the definition to random integrands. An orthogonal decomposition of the chaos space of the random field, combined with the Wick product, leads to the \Ito-Skorokhod integral, and provides an efficient tool to study the integral, both analytically and numerically. For a Gaussian process, a natural definition of the integral follows from a canonical correspondence between random processes and a special class of random fields. Some examples of the corresponding stochastic differential equations are also considered.

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