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Noncommutative stochastic integration through decoupling
Authors:Sjoerd Dirksen
Institution:Delft Institute of Applied Mathematics, Delft University of Technology, P.O. Box 5031, 2600 GA Delft, The Netherlands
Abstract:We present an abstract approach to noncommutative stochastic integration in the context of a finite von Neumann algebra equipped with a normal, faithful, tracial state, with respect to processes with tensor or freely independent increments satisfying a stationarity condition, using a decoupling technique. We obtain necessary and sufficient conditions for stochastic integrability of Lp-processes with respect to such integrators. We apply the theory to stochastic integration with respect to Boson and free Brownian motion.
Keywords:Noncommutative probability theory  Stochastic integration  Decoupling  Noncommutative _method=retrieve&  _eid=1-s2  0-S0022247X10003641&  _mathId=si2  gif&  _pii=S0022247X10003641&  _issn=0022247X&  _acct=C000054348&  _version=1&  _userid=3837164&  md5=992e5bfe45f4c8eb7c8c90fab45cdfb5')" style="cursor:pointer  Lp-spaces" target="_blank">" alt="Click to view the MathML source" title="Click to view the MathML source">Lp-spaces  Khintchine inequalities  Noncommutative Brownian motion
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