Exploring a Fourier–Malliavin numerical model

Exploring a Fourier–Malliavin numerical model

We construct an abstract Wiener space based on the formal Fourier series of the white noise in the time interval 0 , T with 0 < T < ∞ . This construction turns out to be one of the so called Malliavin numerical model for the Wiener process at time t , cf. Malliavin (Stochastic analysis. Spring...

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Veröffentlicht in:São Paulo Journal of Mathematical Sciences 2017-06, Vol.11 (1), p.125-132
1. Verfasser: Ruffino, Paulo R.
Format: Artikel
Sprache:eng
Schlagworte:
Fourier series
Mathematics
Mathematics and Statistics
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Zusammenfassung:We construct an abstract Wiener space based on the formal Fourier series of the white noise in the time interval 0 , T with 0 < T < ∞ . This construction turns out to be one of the so called Malliavin numerical model for the Wiener process at time t , cf. Malliavin (Stochastic analysis. Springer, Berlin, 1997 ). Wiener integral is explored in this abstract structure.
ISSN:1982-6907
2316-9028
2306-9028
DOI:10.1007/s40863-016-0052-6