Stochastic integration with respect to fractional processes in Banach spaces

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00560670" target="_blank" >RIV/67985556:_____/22:00560670 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11320/22:10444486

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0022123622000131?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0022123622000131?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.jfa.2022.109393" target="_blank" >10.1016/j.jfa.2022.109393</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Stochastic integration with respect to fractional processes in Banach spaces

Popis výsledku v původním jazyce

In the article, integration of temporal functions in (possibly non-UMD) Banach spaces with respect to (possibly non-Gaussian) fractional processes from a finite sum of Wiener chaoses is treated. The family of fractional processes that is considered includes, for example, fractional Brownian motions of any Hurst parameter or, more generally, fractionally filtered generalized Hermite processes. The class of Banach spaces that is considered includes a large variety of the most commonly used function spaces such as the Lebesgue spaces, Sobolev spaces, or, more generally, the Besov and Lizorkin-Triebel spaces. In the article, a characterization of the domains of the Wiener integrals on both bounded and unbounded intervals is given for both scalar and cylindrical fractional processes. In general, the integrand takes values in the space of gamma-radonifying operators from a certain homogeneous Sobolev-Slobodeckii space into the considered Banach space. Moreover, an equivalent characterization in terms of a pointwise kernel of the integrand is also given if the considered Banach space is isomorphic with a subspace of a cartesian product of mixed Lebesgue spaces. The results are subsequently applied to stochastic convolution for which both necessary and sufficient conditions for measurability and sufficient conditions for continuity are found. As an application, space-time continuity of the solution to a parabolic equation of order 2m with distributed noise of low time regularity is shown as well as measurability of the solution to the heat equation with Neumann boundary noise of higher regularity.

Název v anglickém jazyce

Stochastic integration with respect to fractional processes in Banach spaces

Popis výsledku anglicky

In the article, integration of temporal functions in (possibly non-UMD) Banach spaces with respect to (possibly non-Gaussian) fractional processes from a finite sum of Wiener chaoses is treated. The family of fractional processes that is considered includes, for example, fractional Brownian motions of any Hurst parameter or, more generally, fractionally filtered generalized Hermite processes. The class of Banach spaces that is considered includes a large variety of the most commonly used function spaces such as the Lebesgue spaces, Sobolev spaces, or, more generally, the Besov and Lizorkin-Triebel spaces. In the article, a characterization of the domains of the Wiener integrals on both bounded and unbounded intervals is given for both scalar and cylindrical fractional processes. In general, the integrand takes values in the space of gamma-radonifying operators from a certain homogeneous Sobolev-Slobodeckii space into the considered Banach space. Moreover, an equivalent characterization in terms of a pointwise kernel of the integrand is also given if the considered Banach space is isomorphic with a subspace of a cartesian product of mixed Lebesgue spaces. The results are subsequently applied to stochastic convolution for which both necessary and sufficient conditions for measurability and sufficient conditions for continuity are found. As an application, space-time continuity of the solution to a parabolic equation of order 2m with distributed noise of low time regularity is shown as well as measurability of the solution to the heat equation with Neumann boundary noise of higher regularity.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GA19-07140S" target="_blank" >GA19-07140S: Stochastické evoluční rovnice a časoprostorové systémy</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Functional Analysis

ISSN

0022-1236

e-ISSN

1096-0783

Svazek periodika

282

Číslo periodika v rámci svazku

8

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

62

Strana od-do

109393

Kód UT WoS článku

000781239100008

EID výsledku v databázi Scopus

2-s2.0-85123743515