Independent increment processes: a multilinearity preserving property

Fred Benth, Nils Detering, Paul Eisenberg

Publikation: Wissenschaftliche FachzeitschriftOriginalbeitrag in FachzeitschriftBegutachtung

Abstract

We observe a multilinearity preserving property of conditional expectation for infinite-dimensional independent increment processes defined on some abstract Banach space B. It is similar in nature to the polynomial preserving property analysed greatly for finite-dimensional stochastic processes and thus offers an infinite-dimensional generalization. However, while polynomials are defined using the multiplication operator and as such require a Banach algebra structure, the multilinearity preserving property we prove here holds even for processes defined on a Banach space which is not necessarily a Banach algebra. In the special case of B being a commutative Banach algebra, we show that independent increment processes are polynomial processes in a sense that coincides with a canonical extension of polynomial processes from the finite-dimensional case. The assumption of commutativity is shown to be crucial and in a non-commutative Banach algebra the multilinearity concept arises naturally. Some of our results hold beyond independent increment processes and thus shed light on infinite-dimensional polynomial processes in general.
OriginalspracheEnglisch
FachzeitschriftStochastics
DOIs
PublikationsstatusVeröffentlicht - 2020

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