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Generalized stochastic processes in algebras of generalized functions |
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| Authors: | Radoslava Mirkov,Dora Sele&scaron i |
| Affiliation: | a Department of Statistics and Decision Support, University of Vienna, Universitätsstrasse 5/3, A-1010 Vienna, Austria b Department of Mathematics and Informatics, University of Novi Sad, Trg D. Obradovi?a 4, 21000 Novi Sad, Serbia |
| Abstract: | Stochastic processes with paths in a generalized function algebra are defined and it is shown that there exists an embedding of generalized functional stochastic processes into such ones. Gaussian stochastic processes with paths in an algebra of generalized functions are characterized by their first and second moments and an application to stochastic differential equations is given. |
| Keywords: | Generalized stochastic processes Colombeau algebras Gaussian processes Positive definite functions |
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