Wednesday, December 18, 2019 - 14:00 in V3-201
A White Noise Approach to Stochastic Current of (Fractional) Brownian Motion
A talk in the Bielefeld Stochastic Afternoon series by
José Luís da Silva from University of Madeira
| Abstract: |
In this talk we investigate the Wick-type stochastic currents of Brownian
motion in $\mathbb R^d$, by using white noise analysis. For $d=1$ we show that the stochastic
current is a Hida distribution while for $d \geq 2$ it is an element in the Kondratiev distributions
space. We also identify the kernels in the chaos expansion of the stochastic
currents and its truncation at zero. The adaptation of these results for fractional Brownian
motion is sketched.
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