Wick Calculus For Nonlinear Gaussian Functionals

Details Wick Calculus For Nonlinear Gaussian Functionals Wick Calculus For Nonlinear Gaussian Functionals

2009-01-30

arxiv.org/abs/0901.4911v1

Mathematics

Probability

Scientific paper

This paper surveys some results on Wick product and Wick renormalization. The framework is the abstract Wiener space. Some known results on Wick product and Wick renormalization in the white noise analysis framework are presented for classical random variables. Some conditions are described for random variables whose Wick product or whose renormalization are integrable random variables. Relevant results on multiple Wiener integrals, second quantization operator, Malliavin calculus and their relations with the Wick product and Wick renormalization are also briefly presented. A useful tool for Wick product is the $S$-transform which is also described without the introduction of generalized random variables.

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