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Skorokhod Integral
In mathematics, the Skorokhod integral (also named Hitsuda-Skorokhod integral), often denoted \delta, is an operator of great importance in the theory of stochastic processes. It is named after the Ukrainian mathematician Anatoliy Skorokhod and japanese mathematician Masuyuki Hitsuda. Part of its importance is that it unifies several concepts: * \delta is an extension of the Itô integral to non-adapted processes; * \delta is the adjoint of the Malliavin derivative, which is fundamental to the stochastic calculus of variations (Malliavin calculus); * \delta is an infinite-dimensional generalization of the divergence operator from classical vector calculus. The integral was introduced by Hitsuda in 1972 and by Skorokhod in 1975. Definition Preliminaries: the Malliavin derivative Consider a fixed probability space (\Omega, \Sigma, \mathbf) and a Hilbert space H; \mathbf denotes expectation with respect to \mathbf \mathbf := \int_ X(\omega) \, \mathrm \mathbf(\omega). ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematics
Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics with the major subdisciplines of number theory, algebra, geometry, and analysis, respectively. There is no general consensus among mathematicians about a common definition for their academic discipline. Most mathematical activity involves the discovery of properties of abstract objects and the use of pure reason to prove them. These objects consist of either abstractions from nature orin modern mathematicsentities that are stipulated to have certain properties, called axioms. A ''proof'' consists of a succession of applications of deductive rules to already established results. These results include previously proved theorems, axioms, andin case of abstraction from naturesome basic properties that are considered true starting points of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Hilbert Space
In mathematics, Hilbert spaces (named after David Hilbert) allow generalizing the methods of linear algebra and calculus from (finite-dimensional) Euclidean vector spaces to spaces that may be infinite-dimensional. Hilbert spaces arise naturally and frequently in mathematics and physics, typically as function spaces. Formally, a Hilbert space is a vector space equipped with an inner product that defines a distance function for which the space is a complete metric space. The earliest Hilbert spaces were studied from this point of view in the first decade of the 20th century by David Hilbert, Erhard Schmidt, and Frigyes Riesz. They are indispensable tools in the theories of partial differential equations, quantum mechanics, Fourier analysis (which includes applications to signal processing and heat transfer), and ergodic theory (which forms the mathematical underpinning of thermodynamics). John von Neumann coined the term ''Hilbert space'' for the abstract concept that under ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ogawa Integral
In stochastic calculus, the Ogawa integral, also called the non-causal stochastic integral, is a stochastic integral for non-adapted processes as integrands. The corresponding calculus is called non-causal calculus in order to distinguish it from the anticipating calculus of the Skorokhod integral. The term causality refers to the adaptation to the natural filtration of the integrator. The integral was introduced by the Japanese mathematician Shigeyoshi Ogawa in 1979. Ogawa integral Let * (\Omega,\mathcal,P) be a probability space, * W=(W_t)_ be a one-dimensional standard Wiener process with T\in\mathbb_+, * \mathcal_t^W=\sigma(W_s;0\leq s \leq t)\subset \mathcal and \mathbf^W=\ be the natural filtration of the Wiener process, * \mathcal( ,T the Borel σ-algebra, * \int f\; dW_t be the Wiener integral, * dt be the Lebesgue measure. Further let \mathbf be the set of real-valued processes X\colon ,Ttimes \Omega \to\mathbb that are \mathcal( ,T\times \mathcal-measurable and almo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Itô Isometry
In mathematics, the Itô isometry, named after Kiyoshi Itô, is a crucial fact about Itô stochastic integrals. One of its main applications is to enable the computation of variances for random variables that are given as Itô integrals. Let W : , T\times \Omega \to \mathbb denote the canonical real-valued Wiener process defined up to time T > 0, and let X : , T\times \Omega \to \mathbb be a stochastic process that is adapted to the natural filtration \mathcal_^ of the Wiener process. Then :\operatorname \left \left( \int_0^T X_t \, \mathrm W_t \right)^2 \right= \operatorname \left \int_0^T X_t^2 \, \mathrm t \right where \operatorname denotes expectation with respect to classical Wiener measure. In other words, the Itô integral, as a function from the space L^2_ ( ,T\times \Omega) of square-integrable adapted processes to the space L^2 (\Omega) of square-integrable random variables, is an isometry of normed vector spaces with respect to the norms induced by the inner p ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Isometry
In mathematics, an isometry (or congruence, or congruent transformation) is a distance-preserving transformation between metric spaces, usually assumed to be bijective. The word isometry is derived from the Ancient Greek: ἴσος ''isos'' meaning "equal", and μέτρον ''metron'' meaning "measure". Introduction Given a metric space (loosely, a set and a scheme for assigning distances between elements of the set), an isometry is a transformation which maps elements to the same or another metric space such that the distance between the image elements in the new metric space is equal to the distance between the elements in the original metric space. In a two-dimensional or three-dimensional Euclidean space, two geometric figures are congruent if they are related by an isometry; the isometry that relates them is either a rigid motion (translation or rotation), or a composition of a rigid motion and a reflection. Isometries are often used in constructions where one space i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Seminorm
In mathematics, particularly in functional analysis, a seminorm is a vector space norm that need not be positive definite. Seminorms are intimately connected with convex sets: every seminorm is the Minkowski functional of some absorbing disk and, conversely, the Minkowski functional of any such set is a seminorm. A topological vector space is locally convex if and only if its topology is induced by a family of seminorms. Definition Let X be a vector space over either the real numbers \R or the complex numbers \Complex. A real-valued function p : X \to \R is called a if it satisfies the following two conditions: # Subadditivity/Triangle inequality: p(x + y) \leq p(x) + p(y) for all x, y \in X. # Absolute homogeneity: p(s x) =, s, p(x) for all x \in X and all scalars s. These two conditions imply that p(0) = 0If z \in X denotes the zero vector in X while 0 denote the zero scalar, then absolute homogeneity implies that p(z) = p(0 z) = , 0, p(z) = 0 p(z) = 0. \blacksquare and t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Closure (topology)
In topology, the closure of a subset of points in a topological space consists of all points in together with all limit points of . The closure of may equivalently be defined as the union of and its boundary, and also as the intersection of all closed sets containing . Intuitively, the closure can be thought of as all the points that are either in or "near" . A point which is in the closure of is a point of closure of . The notion of closure is in many ways dual to the notion of interior. Definitions Point of closure For S as a subset of a Euclidean space, x is a point of closure of S if every open ball centered at x contains a point of S (this point can be x itself). This definition generalizes to any subset S of a metric space X. Fully expressed, for X as a metric space with metric d, x is a point of closure of S if for every r > 0 there exists some s \in S such that the distance d(x, s) < r ( is allowed). Another way to express this is to ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Domain Of A Function
In mathematics, the domain of a function is the set of inputs accepted by the function. It is sometimes denoted by \operatorname(f) or \operatornamef, where is the function. More precisely, given a function f\colon X\to Y, the domain of is . Note that in modern mathematical language, the domain is part of the definition of a function rather than a property of it. In the special case that and are both subsets of \R, the function can be graphed in the Cartesian coordinate system. In this case, the domain is represented on the -axis of the graph, as the projection of the graph of the function onto the -axis. For a function f\colon X\to Y, the set is called the codomain, and the set of values attained by the function (which is a subset of ) is called its range or image. Any function can be restricted to a subset of its domain. The restriction of f \colon X \to Y to A, where A\subseteq X, is written as \left. f \_A \colon A \to Y. Natural domain If a real function is giv ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Smooth Function
In mathematical analysis, the smoothness of a function (mathematics), function is a property measured by the number of Continuous function, continuous Derivative (mathematics), derivatives it has over some domain, called ''differentiability class''. At the very minimum, a function could be considered smooth if it is differentiable everywhere (hence continuous). At the other end, it might also possess derivatives of all Order of derivation, orders in its Domain of a function, domain, in which case it is said to be infinitely differentiable and referred to as a C-infinity function (or C^ function). Differentiability classes Differentiability class is a classification of functions according to the properties of their derivatives. It is a measure of the highest order of derivative that exists and is continuous for a function. Consider an open set U on the real line and a function f defined on U with real values. Let ''k'' be a non-negative integer. The function f is said to be of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Covariance
In probability theory and statistics, covariance is a measure of the joint variability of two random variables. If the greater values of one variable mainly correspond with the greater values of the other variable, and the same holds for the lesser values (that is, the variables tend to show similar behavior), the covariance is positive. In the opposite case, when the greater values of one variable mainly correspond to the lesser values of the other, (that is, the variables tend to show opposite behavior), the covariance is negative. The sign of the covariance therefore shows the tendency in the linear relationship between the variables. The magnitude of the covariance is not easy to interpret because it is not normalized and hence depends on the magnitudes of the variables. The normalized version of the covariance, the correlation coefficient, however, shows by its magnitude the strength of the linear relation. A distinction must be made between (1) the covariance of two random ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Linear Map
In mathematics, and more specifically in linear algebra, a linear map (also called a linear mapping, linear transformation, vector space homomorphism, or in some contexts linear function) is a Map (mathematics), mapping V \to W between two vector spaces that preserves the operations of vector addition and scalar multiplication. The same names and the same definition are also used for the more general case of module (mathematics), modules over a ring (mathematics), ring; see Module homomorphism. If a linear map is a bijection then it is called a . In the case where V = W, a linear map is called a (linear) ''endomorphism''. Sometimes the term refers to this case, but the term "linear operator" can have different meanings for different conventions: for example, it can be used to emphasize that V and W are Real number, real vector spaces (not necessarily with V = W), or it can be used to emphasize that V is a function space, which is a common convention in functional analysis. Some ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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