2005•arXiv (Cornell University)Open access

Stochastic Integral with respect to Cylindrical Wiener Process

Anna Karczewska

Abstract

This paper is devoted to a construction of the stochastic Itô integral with respect to infinite dimensional cylindrical Wiener process. The construction given is an alternative one to that introduced by DaPrato and Zabczyk [3]. The connection of the introduced integral with the integral defined by Walsh [9] is provided as well.

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Key concepts: Stratonovich integral, Wiener process, Stochastic integral, Mathematics, Connection (principal bundle), Integral equation, Stochastic process, Integral representation theorem for classical Wiener space