Clark-Ocone Formula for Generalized Functionals of Discrete-Time Normal Noises
The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time normal noises. Let Z be a discrete-time normal noise that h...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Journal of Function Spaces |
| Online Access: | http://dx.doi.org/10.1155/2018/2954695 |
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| Summary: | The Clark-Ocone formula in the theory of discrete-time chaotic calculus holds only for square integrable functionals of discrete-time normal noises. In this paper, we aim at extending this formula to generalized functionals of discrete-time normal noises. Let Z be a discrete-time normal noise that has the chaotic representation property. We first prove a result concerning the regularity of generalized functionals of Z. Then, we use the Fock transform to define some fundamental operators on generalized functionals of Z and apply the abovementioned regularity result to prove the continuity of these operators. Finally, we establish the Clark-Ocone formula for generalized functionals of Z and show its application results, which include the covariant identity result and the variant upper bound result for generalized functionals of Z. |
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| ISSN: | 2314-8896 2314-8888 |