Independent increment processes: a multilinearity preserving property

Benth, Fred Espen, Detering, Nils and Kruhner, Paul (2021) Independent increment processes: a multilinearity preserving property. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 93 (6). pp. 803-832.

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Official URL: http://dx.doi.org/10.1080/17442508.2020.1802458

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 generalisation. 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 necessary 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.

Item Type:	Article
Uncontrolled Keywords:	Infinite-dimensional stochastic processes, polynomial processes, Banach algebras, conditional expectation, multilinear maps
Depositing User:	Symplectic Admin
Date Deposited:	10 Sep 2018 09:51
Last Modified:	19 Jan 2023 01:25
DOI:	10.1080/17442508.2020.1802458
Open Access URL:	https://arxiv.org/abs/1809.01336
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3025906