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Cylindrical Wiener and Levy processes Markus Riedle
 

Summary: Cylindrical Wiener and L´evy processes
Markus Riedle
16 June 2009
(joint work with Dave Applebaum)
1
Cylindrical Random Variables
and
Cylindrical Measures
2
Cylindrical Processes
Let U be a separable Banach space with dual U
.
Definition: A cylindrical random variable X in U is a mapping
X : U
L0
(, A , P) linear.
A cylindrical process in U is a family (X(t) : t 0) of cylindrical
random variables.
· I. M. Gel'fand 1956: Generalized Functions
· L. Schwartz 1969: seminaire rouge, radonyfing operators

  

Source: Applebaum, David - Department of Probability and Statistics, University of Sheffield

 

Collections: Mathematics