词条 | White noise analysis |
释义 |
In probability theory, a branch of mathematics, white noise analysis is a framework for infinite-dimensional and stochastic calculus, based on the Gaussian white noise probability space, to be compared with Malliavin calculus based on the Wiener process.[1] It was initiated by Takeyuki Hida in his 1975 Carleton Mathematical Lecture Notes.[2] The term white noise was first used for signals with a flat spectrum. White noise measureThe white noise probability measure on the space of tempered distributions has the characteristic function[3] Brownian motion in white noise analysisA version of Wiener's Brownian motion is obtained by the dual pairing where is the indicator function of the interval . Informally and in a generalized sense Hilbert spaceFundamental to white noise analysis is the Hilbert space generalizing the Hilbert spaces to infinite dimension. Wick polynomialsAn orthonormal basis in this Hilbert space, generalizing that of Hermite polynomials, is given by the so-called "Wick", or "normal ordered" polynomials with and with normalization entailing the Itô-Segal-Wiener isomorphism of the white noise Hilbert space with Fock space: The "chaos expansion" in terms of Wick polynomials corresponds to the expansion in terms of multiple Wiener integrals. Brownian martingales are characterized by kernel functions depending on only by a "cut off": Gelfand triplesSuitable restrictions of the kernel functions to be smooth and rapidly decreasing in and give rise to spaces of white noise test functions , and, by duality, to spaces of generalized functions of white noise, with generalizing the scalar product in . Examples are the Hida triple, with or the more general Kondratiev triples.[4] T- and S-transformUsing the white noise test functions one introduces the "T-transform" of white noise distributions by setting Likewise, using one defines the "S-transform" of white noise distributions by It is worth noting that for generalized functions , {{clarify|text=with kernels as in ,|reason=As in what?|date=May 2018}} the S-transform is just Depending on the choice of Gelfand triple, the white noise test functions and distributions are characterized by corresponding growth and analyticity properties of their S- or T-transforms.[3][4] Characterization theoremThe function is the T-transform of a (unique) Hida distribution iff for all the function is analytic in the whole complex plane and of second order exponential growth, i.e. where is some continuous quadratic form on .[3][5][6]The same is true for S-transforms, and similar characterization theorems hold for the more general Kondratiev distributions.[4] CalculusFor test functions , partial, directional derivatives exist: where may be varied by any generalized function . In particular, for the Dirac distribution one defines the "Hida derivative", denoting Gaussian integration by parts yields the dual operator on distribution space An infinite-dimensional gradient is given by The Laplacian ("Laplace–Beltrami operator") with plays an important role in infinite-dimensional analysis and is the image of the Fock space number operator. Stochastic integralsA stochastic integral, the "Hitsuda-Skorohod integral" can be defined for suitable families of white noise distributions as a Pettis integral generalizing the Itô integral beyond adapted integrands. ApplicationsIn general terms, there are two features of white noise analysis which have been prominent in applications.[7][8][9][10][11] First, white noise is a generalized stochastic process with independent values at each time.[12] Hence it plays the role of a generalized system of independent coordinates, in the sense that in various contexts it has been fruitful to express more general processes occurring e.g. in engineering or mathematical finance, in terms of white noise.[13][9][10] Second, the characterization theorem given above allows various heuristic expressions to be identified as generalized functions of white noise. This is particularly effective to attribute a well-defined mathematical meaning to so-called "functional integrals". Feynman integrals in particular have been given rigorous meaning for large classes of quantum dynamical models. Noncommutative extensions of the theory have grown under the name of quantum white noise, and finally, the rotational invariance of the white noise characteristic function provides a framework for representations of infinite-dimensional rotation groups. References1. ^{{Cite book|title=Introduction to Infinite-Dimensional Stochastic Analysis|last=Zhi-yuan.|first=Huang|date=2000|publisher=Springer Netherlands|others=Yan, J. (Jia-An)|isbn=9789401141086|location=Dordrecht|oclc=851373497}} 2. ^{{Cite book|title=Stochastic Systems: Modeling, Identification and Optimization, I|volume = 5|last=Hida|first=Takeyuki|date=1976|publisher=Springer, Berlin, Heidelberg|isbn=978-3-642-00783-5|series=Mathematical Programming Studies|pages=53–59|language=en|doi=10.1007/bfb0120763|chapter = Analysis of Brownian functionals}} 3. ^1 2 {{Cite book|title=White Noise {{!}} SpringerLink|last=Hida|first=Takeyuki|last2=Kuo|first2=Hui-Hsiung|last3=Potthoff|first3=Jürgen|last4=Streit|first4=Ludwig|language=en-gb|doi=10.1007/978-94-017-3680-0|year = 1993|isbn = 978-90-481-4260-6}} 4. ^1 2 {{Cite journal|last=Kondrat'ev|first=Yu.G.|last2=Streit|first2=L.|title=Spaces of White Noise distributions: constructions, descriptions, applications. I|url=http://linkinghub.elsevier.com/retrieve/pii/003448779390003W|journal=Reports on Mathematical Physics|volume=33|issue=3|pages=341–366|doi=10.1016/0034-4877(93)90003-w|year=1993}} 5. ^{{Cite journal|last=Kuo|first=H.-H.|last2=Potthoff|first2=J.|last3=Streit|first3=L.|date=1991|title=A characterization of white noise test functionals|url=https://projecteuclid.org/euclid.nmj/1118782788|journal=Nagoya Mathematical Journal|language=en|volume=121|pages=185–194|issn=0027-7630}} 6. ^{{Cite journal|last=Kondratiev|first=Yu.G.|last2=Leukert|first2=P.|last3=Potthoff|first3=J.|last4=Streit|first4=L.|last5=Westerkamp|first5=W.|title=Generalized Functionals in Gaussian Spaces: The Characterization Theorem Revisited|url=http://linkinghub.elsevier.com/retrieve/pii/S0022123696901305|journal=Journal of Functional Analysis|volume=141|issue=2|pages=301–318|doi=10.1006/jfan.1996.0130|year=1996}} 7. ^{{Cite book|title=White noise analysis and quantum information|others=Accardi, L. (Luigi), 1947-|isbn=9789813225459|location=Singapore|oclc=1007244903|last1 = Accardi|first1 = Luigi|last2=Chen|first2=Louis Hsiao Yun|last3=Ohya|first3=Masanori|last4=Hida|first4=Takeyuki|last5=Si|first5=Si|date=June 2017}} 8. ^{{Cite book|title=Methods and applications of white noise analysis in interdisciplinary sciences|last=Caseñas)|first=Bernido, Christopher C. (Christopher|others=Carpio-Bernido, M. Victoria.|isbn=9789814569118|location=[Hackensack,] New Jersey|oclc=884440293|year = 2015}} 9. ^1 {{Cite book|title=Stochastic partial differential equations : a modeling, white noise functional approach|date=2010|publisher=Springer|others=Holden, H. (Helge), 1956-|isbn=978-0-387-89488-1|edition= 2nd |location=New York|oclc=663094108}} 10. ^1 {{Cite book|title=Let us use white noise|others=Hida, Takeyuki, 1927-, Streit, Ludwig, 1938-|isbn=9789813220935|location=New Jersey|oclc=971020065}} 11. ^{{Cite book|title=Stochastic Analysis: Classical and Quantum|language=en-US|doi=10.1142/5962|year=2005|last1=Hida|first1=Takeyuki|isbn=978-981-256-526-6}} 12. ^{{Cite book|title=Generalized functions. Volume 4, Applications of harmonic analysis|last=(1913–2009).|first=Gelfand, Izrail Moiseevitch|date=1964, cop. 1964|publisher=Academic Press|others=Vilenkin, Naum Âkovlevič (1920–1991)., Feinstein, Amiel.|isbn=978-0-12-279504-6|location=New York|oclc=490085153}} 13. ^{{Cite journal|last=Biagini|first=Francesca|last2=Øksendal|first2=Bernt|last3=Sulem|first3=Agnès|last4=Wallner|first4=Naomi|date=2004-01-08|title=An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion|url=http://rspa.royalsocietypublishing.org/content/460/2041/347|journal=Proceedings of the Royal Society of London A: Mathematical, Physical and Engineering Sciences|language=en|volume=460|issue=2041|pages=347–372|doi=10.1098/rspa.2003.1246|issn=1364-5021|hdl=10852/10633}} 2 : Stochastic calculus|Generalized functions |
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