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Stochastic Integrals and Evolution Equations with Gaussian Random Fields

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Abstract

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 Itô-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. Also considered are the corresponding linear stochastic evolution equations.

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  1. Department of Mathematics, USC, Los Angeles, CA, 90089-2532, USA

    S. V. Lototsky & K. Stemmann

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  1. S. V. Lototsky
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  2. K. Stemmann
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Correspondence to S. V. Lototsky.

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Lototsky, S.V., Stemmann, K. Stochastic Integrals and Evolution Equations with Gaussian Random Fields. Appl Math Optim 59, 203–232 (2009). https://doi.org/10.1007/s00245-008-9051-z

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  • DOI: https://doi.org/10.1007/s00245-008-9051-z

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