On Wick calculus and its relationship with stochastic integration on spaces of regular test functions in the Lévy white noise analysis

Abstract

We deal with spaces of regular test functions in the Lévy white noise analysis, which are constructed using Lytvynov's generalization of a chaotic representation property. Our aim is to study properties of Wick multiplication and of Wick versions of holomorphic functions, and to describe a relationship between Wick multiplication and integration, on these spaces. More exactly, we establish that a Wick product of regular test functions is a regular test function; under some conditions a Wick version of a holomorphic function with an argument from the space of regular test functions is a regular test function; show that when employing the Wick multiplication, it is possible to take a time-independent multiplier out of the sign of an extended stochastic integral with respect to a Lévy process; establish an analog of this result for a Pettis integral (a weak integral); obtain a representation of the extended stochastic integral via formal Pettis integral from the Wick product of the original integrand by a Lévy white noise. As an example of an application of our results, we consider an integral stochastic equation with Wick multiplication.

Keywords

• lévy process
• extended stochastic integral
• pettis integral
• wick product