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Stochastic Analysis / abstract Wiener spaces watch

    • Thread Starter

    Hi there,

    I'm starting revision for Stochastic Analysis and have a few questions relating to the notes I'm reading. I'd much appreciate any clarification as I'm not as up to speed as I'd like.

    1) In the definition of classical Wiener space I have H=L_{0}^{2,1}([0,T]; \mathbb{R}^{n}) the space of continuous paths starting at 0 with first derivative in L^{2} but I'm a little confused as to what this means. Are we assuming the paths are everywhere differentiable in the classical sense with derivative in L^{2} or only that for all \sigma \in L_{0}^{2,1}([0,T]; \mathbb{R}^{n}) there exists \phi \in L^{2}([0,T];\mathbb{R}^{n}) such that \sigma (t)=\int_{0}^{t}\phi(s)ds? I imagine in the second case one has \sigma '(t)=\phi(t) for almost every t. In case it's important E=C_{0}([0,T];\mathbb{R}^{n}) and i is the inclusion from H to E.

    2) Shortly after the definition of AWS I have that the inclusion from L^{2} to L^{1} is an AWS. It's clear that the inclusion is continuous linear and injective with dense range but I can't see easily that it radonifies the canonical Gaussian CSM. Is this easy to prove?

    3) Throughout the notes I have (Gaussian measures, CSM's, Paley-Wiener map, Ito's integral etc.) it's assumed all Banach or Hilbert spaces are separable but I can't see where we actually use that. Where is it important?

    Thanks for any help.
    • Thread Starter

    Anyone? I'll give reputation both now and when I hopefully get more reputation power.

    To be honest, I think this is over pretty much everyone's head. You could try PM'ing RichE; he's the most likely person to be able to help.

    If not, I can't give you a link, but there's a maths site NRICH which has a very strong undergradute/postgraduate forum. It's not hard to find with Google.
    • Thread Starter

    Thanks for the reply. On reflection it's probably an unsuitable topic for the forum but I've historically asked a good number of questions here (since A-Levels) on my previous account so thought I'd give it a try. I've also posted on Physics Forums which has a good mathematical community but if I have no joy there I'll try NRICH (or go to the library and get a different book).

    Six exams to go! Feels like just yesterday that I discovered this forum when doing A-Levels.
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Updated: March 18, 2009

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