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2 (2012) 297-321

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FARIBORZ ASADIAN Abstract. We explore properties of the Wick inner product of vector valued functions in the context of an abstract Wiener space (, ). We investigate convergence of chaos expansion of the Wick product of test functions and obtain a series expansion of the Wick (ordinary) inner product of test Wienerfunctions in terms of the ordinary (Wick) inner products of their derivatives. Next, we use an extension of stochastic integral dened on the space of generalized processes to obtain a generalization of the Clark-Ocone formula involving Wiener functions that are not necessarily dierentiable in the sense of Malliavin. As a framework for our investigation, we utilize the spaces of unel and distributions and test functions introduced by K orzlioglu and Ust constructed via the second quantization of an (unbounded and positive) operator on .

1. Introduction Let (, ) be an abstract Wiener space, and let be the corresponding standard Wiener measure in . The space, 2 , of -square integrable functions dened on admits an orthogonal decomposition that is known as the Wiener-chaos decomposition. This decomposition provides a framework in which analytical notions are tied to the Hilbert space structure of (tensor products of) . In this abstract setting, the Wick product appears naturally and quite frequently as the binary operation, on Wiener functions, associated with the adjoint of the Malliavin derivative. (For an investigation of Wick product in the context of white noise analysis, see Kuo [4] and Holden, et al. [1].) Naturally, an exploration of the properties of the Wick product in the abstract setting must utilize the chaos decomposition of 2 . However, 2 is neither closed with respect to the ordinary product nor closed with respect to the Wick product. Therefore, such an investigation must be carried out within the framework of appropriately dened spaces of test functions and distributions. The prototype of the abstract Wiener space is the classical Wiener space, and on this space, the adjoint of the Malliavin derivative is the well known Skorokhod integral. In [6], Potthof and Timple used the Wiener-chaos decompositions of Wiener functions dened on the classical Wiener space to construct spaces of test

Received 2011-10-10; Communicated by the editors. 2000 Mathematics Subject Classication. Primary 60H30; Secondary 60H07. Key words and phrases. Abstract Wiener space, Wick product, Malliavin derivative, ClarkOcone formula.

297

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FARIBORZ ASADIAN

functions and distributions. Lanconelli [5] chose this construction as a framework to investigate the connection between Wick and ordinary products and to prove formulas relating these two operations. Subsequently, these formulas were used in [5] to explore projection properties of Wiener functions (associated with second quantization operators) analogous to the dening property of conditional expectation in the theory of probability. From the point of view of innite dimensional stochastic analysis, it is desirable to develop these ideas in an abstract setting, so that the results can be applied to functions dened on the Wiener space consisting of paths in an innite dimensional separable Hilbert space. One aim of this article is to explore the connection between the ordinary and Wick inner products of vector-valued functions in this setting. This investigation is motivated by the expectation that the results obtained will nd applications in problems of interest in stochastic analysis where the objects of investigation are innite dimensional. In the setting of an abstract unel [2] appears to Wiener space, the structure provided by K orezlioglu and Ust be a suitable framework for investigation. This structure is built via the second quantization of an unbounded positive operator on . Our approach will not necessarily require the unboundedness property; instead, the required property will be that the inverse of the operator has (operator) norm less than one. The space of test functions dened in this way is closed with respect to both the ordinary and Wick products. In section 2 we introduce notation and review chaos decomposition of 2 . More unel, we use the second quanover, adapting the scheme of K orezlioglu and Ust tization of a positive linear operator on to construct spaces of test functions and distributions. The duality relationship between these spaces will be used to extend the denition of Skorokhod integral. The material covered in section 2 will serve as background information for sections 3 and 4. The main results relating Wick and ordinary inner products of innite dimensional Wiener functions will be proved in section 3. In section 4, we will use the generalization of the Skorokhod integral to extend the Clark-Ocone formula in abstract Wiener space to functions that are not necessarily dierentiable in the sense of Malliavin. 2. Stochastic Analysis in Abstract Wiener Space 2.1. Preliminaries. Let be a xed (nite dimensional or separable and innite dimensional) Hilbert space with norm = , . Throughout, will be an arbitrary separable Hilbert space with inner product , . The collection of Hilbert Schmidt operators from a separable Hilbert space 1 to a separable Hilbert space 2 will be denoted by 2 (1 , 2 ). This collection itself is a separable Hilbert space and is identied with the tensor product, 1 2 , of 1 and 2 . The tensor product of elements 1 , , in will be denoted by 1 or by =1 . For each , the tensor product in the tensor product space of copies of will be denoted by . Let { ; } be an orthonormal basis of , and let { ; } be a collection of real numbers such that > 1 for every . We dene the linear operator Q : Domain Q( ) by Q( ) = for every . will be denoted by . Throughout the article, sup 1

299

2 For each 0, we let = { ; , < }. In this space we dene the inner product , = , ,

and note that this inner product induces a norm that is weaker than the (original) norm of . We complete with respect to and obtain a space that we denote by . This space together with the inner product , is a /2 Hilbert space, and in it, the set { ; } is an orthonormal basis. We let = >0 and endow this space with the inductive topology. Thus a sequence ( ; = 1, 2, ) in this space converges if there is a > 0 such that for every and the sequence converges in the topology of . Clearly for every > 0 we have . The following two well known concrete examples of our abstract structure are frequently used in applications: Example 2.1. Let = 2 ( ) equipped with its [ ] natural inner product. For each 2 2 2 and = 1 () /2 ; integer 0 we let () = (1)

2 !

and denote the induced norm by . The space with the inner product /2 , is a Hilbert space, and { ; } is an orthonormal basis of this space. We let = >0 and endow this space with the topology generated by the norms , 0. Next, for a given 0, we dene in the inner product , = , ,

i.e., is the Hermite polynomial of degree and is the corresponding Hermite function. For each (1 , , ) , we denote the tensor product 1 by (1 , , ) . The collection { (1 , , ) ; (1 , , ) } is an orthonormal basis 2 2 of 2 ( ). Let be the densely dened dierential operator = 2 + + 1 2 on (), and let = . This operator has spectral decomposition () = (1 , , ) 2 (1 + 1) ( + 1), (1 , , ) 2 ( ) (1 , , ) . In this example, the space is the well known Schwartz space of rapidly decreasing functions and is the space of tempered distributions. Example 2.2. We let [, ] be a closed and bounded interval in . Let = 2 ([, ] ), the space of Lebesgue square-integrable functions with support in

2

(1 , , ) we denote the tensor product 1 by (1 , , ) . The collection {(1 , , ) ; (1 , , ) } is an orthonormal basis of 2 ([, ] ). Let 2 2 = , where is the densely dened operator = 2 +1 on ([, ]). Then 2 2 2 2 () = (1 , , ) ( 1 + 1) ( + 1), (1 , , ) 2 ([,] ) (1 , , ) , where

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FARIBORZ ASADIAN

= . In this example, the space can be identied with the collection of -functions on that vanish outside [, ] , and is identied with the space of (Schwartz) distributions that have support in [, ] . For every , the tensor product of copies of will be denoted by . The set { ( ) } /2 ; 1 , , =1

is an orthonormal basis of . We denote the inner product of elements , by , and the (induced) norm of an element by . Note that if 0 and , , then , or < 0 and , , = (1 ) , =1 , =1 .

1 , ,

For each 0, there is a natural pairing of each element and each denoted by , and dened by

, =

1 , ,

, =1 , =1 .

Remark 2.3. If is nite dimensional, all norms introduced above are equivalent. In fact, if , are the eigenvalues of and and are real numbers, ( ) ( ) . then for every element we have max

2.1.1. Symmetrization Operator. Let . We dene the symmetric tensor product of elements 1 , , by = 1 1 (1) () , !

where the summation is over all permutations of the set {1, , }. (Throughout, will be used to denote symmetric tensor product.) We denote by the symbol the linear operator that sends each simple element 1 to . This operator is a projection and can be extended to the entirety 1 of . We denote the range of , which is a closed subspace of , by

antisymmetric if it belongs to the kernel of . The space with the inner product it inherits from is a Hilbert space. The projection denes an equivalence relation on . Thus, two elements , are related if and only if is antisymmetric. In the obvious way, the equivalence classes (mod ) can be identied with elements in the space .

301

Every simple symmetric element in can be written, via Polarization Identity , as a nite sum of elements of the type . In fact, if 1 , , , then 1 = (1 1 + + ) . 1 2 ! =1, , =1

1

We need a suitable notation to identify an orthonormal basis for . We let be the collection of all indexed sets = { ; } whose terms are nonnegative integers and = is nite. For each = { ; } we set ! = !. For 1 , the product 1 is clearly in equivalence relation 1 with a product 1 , 1 + + = , in which the indices 1 , , 1 are distinct. Since symmetrization of the product 1 produces a sum ! of ! terms of which 1 ! ! are distinct and pairwise orthogonal, we clearly see that ( )/2 1 ! ! =1 1 = . ! , Hence we have the following proposition:

Remark 2.4 If )is nite dimensional with dimension , then the space has (. +1 dimension 1 .

is an orthonormal basis of . If 0 and , then , or if < 0 and ! () () 2 2 , = ! , =

, =

From this (and the fact that is dense in if < 0) we see that if 1 2 , then 1 2 , and in this case we have

! () () 2 , . !

(1 2 )/2

2 1

(2.1)

1 () .)

Denition 2.6. Let and be positive integers. Two elements and are said to be mutually orthogonal if there are subspaces 1 and 2 of such that 1 2 , 1 , and 2 .

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FARIBORZ ASADIAN

2.2. Structure of the space of square integrable Wiener functions. Let be the standard Gauss measure dened on the cylindrical subsets of . It is well known that is not -additive. Let be a Banach space obtained by completing with respect to a -measurable norm. (For the denition of -measurable norm, see Kuo [3].) Then , dened on the cylindrical subsets of , has a -additive extension to the Borel -eld of . The pair (, ) is called an abstract Wiener space. Identifying with its dual space via Riesz Representation Theorem, we obtain the inclusions In this way the dual space, , of is identied with a dense subset of . We denote the collection of all -square integrable random variables by 2 . The inner product and the norm in this space will be denoted by , and , respectively. Integration of an element 2 with respect to will be denoted by . Let , and let , = 1, 2, , be a sequence in that converges (in ) to . For each , the map () is Gaussian with mean zero and variance 2 . The sequence of random variables () is therefore Cauchy in 2 and converges to an almost surely dened random variable, denoted by [], that is normally 2 distributed with mean zero and variance 2 . The map is unitary from to . (2 )! It is easy to verify that for each positive integer , []2 = 2 ! 2 . Let 0 be the collection of all real numbers. For each = 1, 2, , let 2 be the closure, in , of the collection consisting of nite linear combinations of constants and random variables of the type =1 [ ], where = 0, 1, , and 0 , and for each = 1, 2, , let = 1 ; i.e., . Now let 0 = 1 in . is the orthogonal complement of For each and index we let 1 ()/2 () ( [ ]) , ; = ! where () is the Hermite polynomial of degree (). Proposition 2.7. For each positive integer , the set {0; : , = } is an orthonormal basis for . The following well known proposition follows from the fact that the collection of elements of the type ( [1 ], , [ ]), where is a nonnegative integer, is a polynomial function of variables and 1 , , is dense in 2 , and that each such element can be written as a linear combination of elements of the type ( ()), where is a Hermite polynomial and . Proposition 2.8. 2 is the orthogonal sum of its subspaces , = 0, 1, 2, . The orthogonal projection of an element in 2 onto the space will be denoted by . For an elementary object 1 in the space we dene () [1 ] = [ [1 ] [ ]]. .

303

We enlarge the domain of () , by linearity, to include nite linear combinations of elementary objects (simple elements) in . Clearly and this is true for all simple elements as well. ] = () [1 ], () [1

Example 2.9. It is easy to see that if 1 , 2 , 3 , then (2) [1 2 ] = [1 ] [2 ] 1 , 2 , and (3) [1 2 3 ] = [1 ] [2 ] [3 ] 1 , 2 [3 ] 1 , 3 [2 ] 2 , 3 [1 ]. Remark 2.10. For every and positive integer , () [ ] = ( []), where is the Hermite polynomial of degree . The following property follows from a well known property of Hermite polynomials. ( )( ) (+2) +2 () () [ ] [ ] = ! [ ].

=0

Proposition 2.11. For every positive integer , the linear map () : dened above is bounded, and its restriction to is unitary up to multiplication ] . by !. The range of this map is the entire space and its kernel is [ ( ) () Proof. For every index with = , the element in is mapped by () to the element () ( [ ]) in . The assertions of this theorem follow from Proposition 2.7 and the fact that () [ ( )] = () [ ] for every simple element . 2.3. Generalization of multiple stochastic integral. For each and positive integer we dene in the inner product , = , ; , ; ,

, =

if the sum converges. We denote the induced norm by . Now, if > 0, then is stronger than . In this case we let , = { : < }. If < 0, then is stronger than and we dene , to be the completion of with respect to . In either case , is a Hilbert space with the inner product , , and one of its orthonormal bases is the set { ; : , = }. For each > 0, there is a natural pairing of elements of , with elements of , , through which the space , is identied with the dual space of , . This pairing of an element , and an element , will be denoted by , and is dened by , = , ; , ; . (2.2)

, =

Evidently this pairing corresponds to the natural paring of elements of dened in section 2.1. with elements of For every > 0, we can use the natural pairing of , and , to expand the domain of () to include the entire space . For each we dene

304

FARIBORZ ASADIAN

the map : , by ( ) = !, , where = () [ ]. This map is a bounded linear functional on , and hence can be represented by a unique element () [ ] in , . Now let > 0 and , = . Since , for every , it follows from (2.2) that for every , , , () [ ] = , , () [ ] ( ) ! /2 , . = ! ! ( ) /2 ! in Therefore, () maps each element to , in ! [ ] , . Furthermore, we note that if , then is the zero map. From these observations we get the following proposition. Proposition 2.12. For every positive integer and nonnegative number , the linear map () : above is bounded, and its restriction to , dened is unitary up to multiplication by !. The range of this map is the entire space [ ] , and its kernel is .

For each , we dene 2, = =0 , . Therefore, each 2, has a chaos decomposition =0 () [ ], where each belongs to the space . We denote the inner product in this space by , and the corresponding norm by . For every > 0, we use the same notation in (2.2) and denote the natural pairing of elements in 2, with those in 2, by , . Denition 2.13. Let , and let , 2, with Wiener-chaos decomposi () tions = =0 [ ] and = =0 () [ ]. The Wick product of and is denoted by and dened by =

=0 +=

], () [

=1

, . We note that () [ =1 ( ) ] = =1 () [ ] . Moreover, if { ; } is an orthonormal basis in , then () is a linear densely function that ( dened ) () maps (for every index with = ) the element in to

2.4. Vector-valued Wiener maps. Let . For each simple element in , we dene [ ] () = () [ ]

=1 =1

305

the element () ( [ ]) in , . Therefore, () can be extended to a bounded linear surjection from to , , whose restriction to !. is unitary up to the constant The inner product in the tensor product space 2, will be denoted by , , and the corresponding norm by , . For > 0, the natural pairing of elements in 2, and 2, will be denoted by , , . We have the following proposition. Proposition 2.14. For every real number , 2, = =0 (, ) (orthogonal sum). Therefore, each 2, has a Wiener-chaos decomposi tion =0 () [ ], where each belongs to the space . Furthermore, 2 2 , = =0 ! .

Denition 2.15. Let , 2, for some . Let =0 () [ ] and () [ ] be the Wiener-chaos decompositions of and , respectively. For =0 each , let = =1 , and = =1 , , where each , and each

, belongs to , and the set { ; } is an orthonormal basis for . The Wick inner product of and is denoted by and dened by , , = () , =0 +=

=1

(2.3)

Proof. Let { ; } be an orthonormal basis of . Then there are elements and , , such that = and = . ]. Therefore, Then we have () [ ] () [ ] = (+) [ () [ ] () [ ] 2 = ( + )! ( + )! ( + )! ( + )! ( + )! =1

=1 =1 =1 =1 =1

2 (+)

=1

(+)

=1

=1

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FARIBORZ ASADIAN

( ) + ( ) () [ ] 2 [ ] 2 , , .

2.4.1. Symmetric Processes. Let and be nonnegative integers, and let . Elements in , ( stochastic processes. An element = ) are -parameter ( ) ( ) () [ ] in this space, where , is called a totally symmetric

+ process if . In this case we clearly have () [ ] = () [+ ].

2 ] 3 + Example 2.17. If 1 , 2 , and 3 are elements in , then (2) [1 3 ] 2 + (2) [2 3 ] 1 is a totally symmetric one-parameter process (2) [1 in 2, .

We denote the (closed) subspace of , ( ) consisting of totally symmetric ( ). Elements that belong to the orthogonal complement of processes by , ( ) are called totally antisymmetric. ,

An element 2, ( ) is called a totally symmetric process if 2, ( , ( ) consisting of totally ) for every . The (closed) subspace of 2, symmetric processes will be denoted by ( ). Processes in the orthogonal ( ) will be called totally antisymmetric. complement of 2,

2.5. Malliavin dierentiation. Let and be nonnegative integers, and let . We denote the th order Malliavin derivative of () [ ] by ( () [ ]) and dene it to be the zero vector in the space if < , and the element () if . An element = ( +1) () [ ] in [ ] 2 =0 is called -times dierentiable in the sense of Malliavin if applying to each term of its chaos decomposition produces a convergent series in 2 ( ). Clearly, ( ) and 2 in this case, belongs to 2 = ( + = 2 . We shall denote the subcollection of consisting of elements that 1)! 2 are -times dierentiable in the sense of Malliavin by () .

+1 1 2 . Then each Proposition 2.18. Let be a positive integer, and let log 2 2, element in has th order Malliavin derivative in . Moreover, , ! . +1 1 2 Proof. First we note that if log , then for every + 1 we have

() 2(+1)() 2 ( )1 .

Now let =

=0

() [ ] 2 . Then =

=

2 ,

( + 1)! 2

307

! 2 . We saw above that if , then belongs to the space ( ). Now ( ). Therefore, an we show that the range of is in fact the entire space 2 -parameter stochastic process with values in is the th derivative of a Wiener map if and only if it is completely symmetric and hence, necessarily, -valued. 2 () To show this suppose ( ) has chaos decomposition =0 [ ]. Let 2 be such that 0 , , 1 are zero vectors (each in its own space), and )! () [ ] for = , + 1, . It is easy to verify that () ( ) = ( ! and = . Remark 2.19. Let and = =0 ( ) [ ] 2 . Then () [ ], = () [ ] () [ ] = !, = Therefore, we have

= () 2

! 2

( + 1), ( ) [ ] .

() [ ], = , .

(2.4)

1 Lemma 2.20. Let 1 , , be nonnegative integers and let 1 , , be pairwise mutually orthogonal (Denition 2.6). Then

(1 ) [1 ] ( ) [ ] = (1 ) [1 ] ( ) [ ]. Proof. We begin by proving the lemma for the case = 2. In light of the Polarization Identity and continuity of the maps (1 ) and (2 ) , it suces to prove 2 1 the assertion in this case for elements of the type 1 = 1 and 2 = 2 , where 1 , 2 and 1 2 . In this case, the assertion is clearly true if 1 = 0 or 2 = 0. Suppose 1 and 2 are both positive integers. Let . Then, using (2.4) we have

(2 ) 2 1 (1 ) [ [2 ], (1 +2 ) [ 1 +2 ] 1 ] [ ] (2 ) 2 (1 +2 ) 1 +2 1 = (1 ) [ [2 ] [ ] 1 ] [ [ ] ] (1 ) (1 +2 ) 1 +2 1 2 = (2 ) [ [ ] 1 1 , 2 ] 1 ( ) (1 + 2 )! 1 1 2 ! , 1 1 = (2 )! (2 + )! 1 2 =0

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FARIBORZ ASADIAN

We note that if is positive, then the th term of the sum is zero. Therefore,

(2 ) 2 1 +2 1 1 2 (1 ) [ [2 ], (1 +2 ) [ 1 +2 ] = (1 + 2 )! 1 +2 1 ] 1 2 , (1 +2 ) 1 +2 1 2 = (1 +2 ) [ [ ]. 1 2 ],

[ ] 2 (2 ) [ ] (2 +) [ 2 + ] 2

Invoking the linearity of (1 +2 ) and the Polarization Identity, we infer the truth (1 +2 ) of the assertion if is replaced by a simple element in . By a passage (1 +2 ) to limit, the equality holds for an arbitrarily selected element in . The proof for the case = 2 is complete. Now suppose the assertion of the Lamma is true for = 2, and let 1 1 +1 , , +1 be pairwise mutually orthogonal. Then ( ) (1 ) [1 ] (+1 ) [+1 ] = (1 ) [1 ] ( ) [ ] (+1 ) [+1 ] +1 ] = (1 ++1 ) [1 ] (+1 ) [+1 ] = (1 ++ ) [1

2.6. Adjoint of the Malliavin derivative. Let 0. We know from the preceding subsections that for xed nonnegative integers and , , the map : +, , ( ) is bounded and linear and its range is , ( ). () We denote the adjoint of this map by . We choose this notation since in the case = 0 and = 0, this denition coincides with the denition of () given in subsection 2.2. We identify the adjoint of , ( ) with , ( ) and () the adjoint of +, with +, . Hence, if , ( ), then is the unique element in +, such that for every +, . The following proposition claries the action of () on elements of the space , ( ).

Proposition 2.21. Let 0, and let and . Then [ ] () () [ ] = () [ ] () [ ]. (2.5) [ ] Proof. Clearly () () [ ] is an element in +, . We prove this propo[ ] ], for sition by showing that () () [ ] , = (+) [ every +, . It suces to prove the proposition for the case in which and = and are elementary objects. So let = =1 + , where [ + ] =1 (+) =1 be an elementary object in +, . 1 , , + . Let =

= (1 ) [1 ] (+1 ) [+1 ],

() , = , , .

Then we have [ ] () () [ ] , = () [ ] , ,

309

[ + ] =1 = ( + ) ( + 1) () [ ], , () () () = ! [ ], [ ] , /

{1, ,+}

# =

= !!

{1, ,+}

# =

= !! ,

{1, ,+}

# =

, , /

+ + = ( + )! ,

] [ [ / ]+

()

[ ]

()

[ ], .

+ =1 =

!! ( + )!

{1, ,+}

# =

The equality holds if is a simple element (nite sum of elementary objects). By a passage to limit, it is true for every +, . The proof is now complete.

Corollary 2.22. Let 0. If and are mutually orthogonal (Denition 2.6), then () [ () [ ] ] = () [ ] () [ ].

] [ [ / ].

Corollary 2.23. Let 0 and . If is an antisymmetric element in () () , then [ [ ] ] = 0. Denition 2.24. Le 0, and let = =0 () [ ] be an element of the tensor (+) () product space 2, ( [ ], provided this ). We dene [ ] = =0 sum converges in 2, . Remark 2.25. The domain of () in 2, ( ) consists of all functions = () < . [ ] satisfying the condition =0 ( + )!+ ( )2 =0 +

In subsection 2.4 we dened the Wick inner product of elements in 2, (Denition 2.16). In this section we explore Wick inner products of vector-valued test functions and identify the spaces to which these products belong. Moreover, we generalize the results in [5] by proving identities describing the relation between Wick and ordinary inner products of Hilbert space-valued Wiener maps and by proving the closure property of 2, under both operations.

Proposition 3.1. Let and . Then ( )( ) () [ ], () [ ] = ! () [ ] () [ ] =0

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FARIBORZ ASADIAN

=0

(1) () [ ], () [ ] . !

(3.2)

Proof. We begin by proving identity 3.1 for the simple case in which = 1 and = 2 , where 1 and 2 are unit vectors in . We use the decomposition 2 = 1 , 2 1 + , where 1 . If , then ( ) () () () () [1 ] [2 ] = 1 , 2 [1 ] [1 ] =0 ( ) () () () = 1 , 2 [1 ] [1 ] [ ] (Lemma 2.21) =0 ( )( )( ) (+2) +2 [1 = 1 , 2 ! ] [ ] (Remark 2.10) =0 =0 ( ) ( )( ) + (+ ) + ( ) + = ! 1 , 2 [1 ] [ ] =0 +

=0

=0

= =

In the last equation we have used the fact () [ 2 ] = 0 for every > . Invoking the Polarization Identity and the continuity property of () and () we arrive at 1 () () () [ ] () [ ] = [ ] () () [ ] !

=0

=0

!! ( ) () [ [2 ] 1] !( )!( )! 1 () () [1 ] () () [ 2 ] . !

=0

311

for every and . Now we use identity 3.1 to prove assertion 3.2. Let and . Assume . Then

( )( ) (1) ! () [ ], () [ ] =0

= =

=0

=0

(1) !! () [ ], () [ ] !( )!( )!

Now let and . Then for an orthonormal basis { ; } of , there are sequences { ; } and { ; } in and , respectively, such that = =1 and = =1 . Then

(1) ! =0 !()!

= 0 if > 0.

() [ ], () [ ] = =

( )( ) ! () [ ] () [ ] =1 =0 ( )( ) = ! () [ ] () [ ] =0 =1 ( )( ) = ! () [ ] () [ ] . =0

=1

() [ ] () [ ]

] + (1) [ ], . [] () [ ] = (+1) [ ( ( ) ) 1 1 1 1 2 . If , 2, , Theorem 3.3. Let > 0, and let < log 2 1 then the series =0 ! converges in 2, . Moreover , =

=0 1 . !

(3.3)

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FARIBORZ ASADIAN

1 =0

! ! 1 () [ ] ( ) [ ] ! ( )!( )! , = =0 ( ) 1 ! ! + 2 ! ( )!( )! =0 , =

=0 , =

() () .

1 =0

( )( )( ) + 2 ! ! =0 , = ( )( ) + 2 2 () [ ] , ( ) [ ] , =0 , = ( + = 2 2 () [ ] , ( ) [ ] ,

, =0

, =0

=0

( ) ( ) ( ) ( ) ) 2 2

+ 2

() [ ] , ( ) [ ] , ) ( )(

=0

( ( ) ) /2 /2 2 + () [ ] , 2 + ( ) [ ] ,

=0 =0

) ( )( 2

=0

313

1 ! =0 ( ) )/2 ( () 2 + [ ] , =0

( )/2 2 + ( ) [ ] , . (3.4)

=0

1 ! =0 ( )( )( ) + + 2 ( 2 ) ! ! =0 , = ( )( ) ( )2 ( ) + 2 () ( ) 2 [ ] [ ] 2 , =0 =0 ( ) + 2 2 () [ ] ( ) [ ] , =0

=0 =0 ( =0

Therefore,(inequality 3.4 < . It follows from the assumption ) holds for every ( ) 1 1 1 < log 1 + (0, 1). Therefore, 2 2 that 2

1 =0

( ) / 2 2 + ( ) [ ] ,

=0

)/2

()

[ ] ,

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FARIBORZ ASADIAN

( )/2 2( ) + () [ ] , =0

,=0

( =0

2( ) +

)/2

( ) [ ] ,

() [ ] () [ ]

The proof of the assertion for the case in which and are both real valued is complete. If and are vector-valued elements in 2, , then we can prove the assertion by applying identity 3.3 ( = ) to each term of the expansion of , obtained using the Fourier coecients of and with respect to an orthonormal basis of .

2 1 3. Then , and Corollary 3.4. Let , 2, , where > log equation 3.3 holds in this space. Moreover, the map (, ) , from the product space (2, ) (2, ) to 2 is continuous.

,=0 =0 1 =0

1 () [ ] () [ ] (Proposition 3.1) !

Corollary 3.5. If , 2, , then , 2, and equation 3.3 holds in this space. Furthermore, the map (, ) , from the product space (2, ) (2, ) to 2, is continuous. ) ( ( ) 1 1 1 1 . If , 2, , Theorem 3.6. Let > 0 and let < log 2 1) 2, then the series =0 ( , and in this space, ! , converges in = () () Proof. Let > 0 and let < . Let = =0 [ ] and = =0 [ ] be 2, elements of . For every and and we have () [ ], ( ) [ ] )( ) ( ) ( ! () [ ] ( ) [ ]+

=0 (1) =0

, .

(3.5)

315

=0

( )( )( ) + 2 2 !

) + 2

) + 2

( )!( )! ( )( ) ( ( ) ) 2 4

=0

= 2

( ) + 2 = 2 + ( )!( )!

) + 2

) ( ) ) ( ) ( ( 2 2

=0 =0

( )!( )!

( )!( )!

1+ 2

) + 2

= 2 +

( ) + 2

) ( )!( )! . +1

Therefore, we have

1 , ! =0

=0 , =

, =0

( ) + 2 2 + ! !

( ( ) + ) ! ! 2 2 + 2 + 1 !( )!( )! ( )!( )!

, =0

( ) + 2 2 + ! !

( )( ) ) 2 (2 + 1)

=0

316 ( ) =0

FARIBORZ ASADIAN ( ) =0

, =0 ( =0

( ( ) + 2 1+ 2 + )2

(2

+ 1) 1

(2

+ 1)

2 + 1

( =0

) + 2

() [ ] , ( ) [ ] ,

)2

2 + 2 1

() [ ] ,

2 + 2

( ) [ ] ,

, , . ( ( ) ) 1 1 1 Note that condition < log 1 ensures that 2 + 2 < 1. 2 If and are real-valued, then = () [ ] ( ) [ ] 1 2 2 = =

, =0 , =0 =0 =0

(1) () [ ], ( ) [ ] !

(Proposition 3.1)

(1) , . !

The proof for the case = is complete. This case can be used to prove the assertion for vector-valued elements in 2, by considering expansions of and with respect to an orthonormal basis of .

2 1 4. Then , and Corollary 3.7. Let , 2, , where > log in this space, equation 3.5 holds. Moreover, the map (, ) from the product space (2, ) (2, ) to 2 is continuous.

Corollary 3.8. If , 2, , then 2, , and in this space, equation 3.5 holds. Furthermore, the map (, ) from the product space (2, ) (2, ) to 2, is continuous. 4. Extension of Clark-Ocone Theorem in Abstract Wiener Space

Let be a real separable Hilbert space, and let 2 [0, ] be the space of square Lebesgue integrable real-valued functions dened on the interval [0, ]. Throughout the rest of this article we let = 2 [0, ] , and in this space, we denote 2 the tensor product of an element [0, ] with an element by . We use the symbol for tensor product of vectors in and the symbol for tensor product of elements in . Each elementary object (1 1 ) ( ) in can be identied with the element 1 1 in 2 ([0, ] , ). We let { ; } be an orthonormal basis of 2 [0, ] and { ; } an orthonormal basis of . Therefore, in this case, the index set is . So each is a set of nonnegative integers indexed by and containing a nite number of nonzero elements. For each and we denote the sequence

317

{(, ) ; } by . We denote the sum (, ) and the product (, ) ! by and !, respectively. We let the operator : be dened by ( ) = for every (, ) , where > 1 for every . For each , the spaces and are dened as in subsection 2.1. We note that each elementary object [1 1 ] [ ] in is in 1 equivalence relation (via ) with a unique product [ 1 1 ] [ ], where 1 1 < 2 < < , 1 + + = , 1 , , . From this fact we get the following proposition: Proposition 4.1. For each nonnegative integer and each , the set { ( )( ,) )] ! [ ( /2 ; , =1 1 ! !

1 , , , 1 < < , = 1 + + =

is an orthonormal basis of . Now we identify a convenient dense subspace of proof of the extension of Clark-Ocone Theorem.

Proposition 4.2. Let 0. The span of the collection consisting of elements of [ ] the type , where 0 1 < 1 2 < 2 < , =1 1( , ] 1 + + = , 1 , , , is dense in .

(1 , 1 ], , ( , ] are (pairwise) either identical or disjoint, is dense in . Each element of the type (1(1 , 1 ) (1( , ) is related (via ) to a ] 1] 1 1 ) (1( ), where 0 unique element of the type (1(1 , 1 < , ] ]

1

Proof. Since is dense in , the span of the collection consisting of elements of the type (1(1 , 1 ) (1( , ), where 1 , , , and the intervals ] 1]

1 , , are simple 1 2 < 2 < , 1 elements, and 1 + + = . Now, applying the Polarization Identity to each of the elements 1 , , we arrive at the assertion of the proposition.

4.1. Projection properties. For each [0, ], we let be the completion of the -algebra generated by random variables of the type [1[, ] ], where 0 < and . We denote the set 0 by .

Proposition 4.3. Let be a positive integer, and let [0, ]. For each we have [ ] () [ ] = () [ 1[0,][0,] ]. (4.1)

318

FARIBORZ ASADIAN

Proof. We rst prove the assertion for the case in which is a simple element of the type 1(, ] , where 0 < and . In this case, if , the assertion is true since both sides of (4.1) are zero. If , the assertion is true since () [ ] is -measurable. So we assume < . If = 1, the assertion is obviously true. Suppose ( ) [ ] [ ] () 1(, ] = () 1(,] for = 1, , , where is some positive integer. We know from Corollary 3.2 that [ ] [ ] [ ] (+1) 1(, ]+1 +1 = () 1(, ] 1(, ] [ ] (1) ( )2 1(, ]1 1 .

Using the decomposition 1(, ] = 1(,] + 1(, ] and the inductive assumption we get ( ) ] [ (+1) 1(, ]+1 +1 ( ) [ ] [ ] = () 1(, ] 1(, ] [ ] (1) ( )2 1(,]1 1 ( ) ( [ ] [ ]) [ ] = () 1(, ] 1(, ] () 1(,] =0 ( ) ( [ ]) [ ] [ ] + () 1(, ] () 1(,] 1(,] =0 [ ] (1) ( )2 1(,]1 1 ( [ ] [ ]) [ ] = 1(, ] 1(, ] (1) 1(,]1 1 [ ] [ ] [ ] (1) + () 1(,] 1(,] ( )2 1(,]1 1 [ ] [ ] [ ] (1) = ( )2 1(,]1 1 + () 1(,] 1(,] [ ] (1) ( )2 1(,]1 1 [ ] [ ] [ ] = ( )2 (1) 1(,]1 1 + () 1(,] 1(,] [ ] = (+1) 1(,]+1 +1 .

Now we prove the theorem for an arbitrary . In light of Proposition 3.2 and the fact that () [ ] = () [ ] for every to prove [ ] , it suces [ ] 1 the theorem for a simple element of the type 1(1 , 1 1 , ] ] 1 ( , 1

where 1 + + = , 0 1 < 1 2 < 2 < , and 1 , , . The assertion is clearly true if 1 or . If 1 < < , the assertion follows from the case already proved and the fact that [[ ] [ ]] 1 1 1 is the product of independent elements () 1[1 , ) ) 1 [ , 1 [ ] ( ) 1[ , , = 1, , (Lemma 2.21). )

319

For > 0 and 2, the element ( ) is a well dened object in . Proposition 4.3 provides a way to extend the concept of -measurability () to a generalized function. Let = [ ] be an element in 2, for =0 some [0, ). We say that is -measurable for [0, ] if for every , 1[0,] = almost everywhere (with respect to Lebesgue measure in [0, ] ). We note that in this case

2,

=0

, , = , ( ) , for every 2, . It is easy to verify that the collection of -measurable elements is a closed subspace of 2, . We now dene the conditional expectation of an arbitrary element 2, to be the orthogonal projection of onto this subspace, and we denote this element by ( ). Thus ( ) is the unique -measurable element in 2, such that , , = ( ), , for every -measurable in 2, . 4.2. Extension of Clark-Ocone theorem. Every 2 has Malliavin de1 4. This result follows from Proposition 2.19 in rivative in 2, if > log subsection 2.5. Moreover, in section 2.6 we saw that for every > 0, the domain of can be expanded to the entire space 2, . These results make it possible for us to generalize the Clark-Ocone Theorem so that it can be applied to every Wiener function in 2 , and not only to the ones that are Malliavin dierentiable. Lemma 4.5. Let be a nonnegative integer, and let = 1(, ]+1 +1 , where ( ) 0 < and . The map () [ ] () belongs to the domain of , and [ ( ) ] 1 (+1) [ ]. () [ ] () = +1

+1 Proof. Let = () [ ] and = (+1) [ ], where . Then ( ) ( ) (), = ( + 1) () [1(,] ], () [ ]()

= ( + 1)! = ! =

1 (+1) [ ], , +1

+1 , (1 , , , )+1 1

+1 , (1 , , , )+1 1

320

FARIBORZ ASADIAN

1 4. Then the map Theorem 4.6. Let be an element of 2 , and let > log (, ) ( )(, ) belongs to the domain of (the extension of ) in the space 2, . Furthermore, in 2, ,

Proof. Let and be as in the statement of this theorem. By Proposition 2.19, . Using estimate 2.1 we can see that if has chaos decomposition 2, () [ ], then =1 2 ! 2 < . This implies that belongs to the =0

= 0 + [ ( ) ()] .

domain of (the extension of) in 2, . (See Remark 2.26.) Moreover, the map : 2 2, is continuous. Hence it suces to prove the assertion for elements in a dense subspace of 2 , such as the one identied in Proposition 4.2. In view of linearity of () , we only need to prove the theorem for an element of the type () [ ], where = =1 1(1 , , 0 1 < 1 2 < 2 < 1] , 1 + + = , 1 , , . In this case, by Lemma 2.21, [ ] . () [ ] = ( ) 1( , ]

=1

Then

()

[ ] =

=1

{1, ,}, =

] [ ( ) 1( , ]

( 1)

( ) In view of Proposition 4.3, () [ ] () = 0 if . Let < . In ( () ) this case the rst 1 terms of [ ] vanish when evaluated at and hence we only need to consider the last term. By Proposition 4.3, 1 [ ] [ ] 1 ( 1) 1( , 1 1( , ( ) 1( , () ] ] ]

=1 1 [ ] [ ] ( ) 1 ] () ] = ( 1) 1( ,] 1 1 1 . ( , ( ,

) [ ] 1 1 1( , 1( , . ] ]

The map ( ) () belongs to the domain of . By Corollary 2.23 and Lemma 4.5 we have [ ( ) ] () [ ] () =

=1 1

()

=1

[ ] [ ] [ ] 1 ( 1) 1 ( ) 1( , 1 1 ( ) ( , ] ( ,] ] ] [ ( ) 1( , . ]

=1

321

References

1. Holden, H., ksendal, B., Ube, J., and Zhang, T.: Stochastic Partial Dierential Equations, Second Edition, Springer, 2010. unel, A. S.: New class of distributions on Wiener spaces, Lecture 2. K orezlioglu, H. and Ust Notes in Mathematics, Springer 1444 (1990) 106121. 3. Kuo, H.-H.: Gaussian Measures in Banach Spaces, Lecture Notes in Mathematics, Springer 463 (1975). 4. Kuo, H.-H.: White Noise Distribution Theory, CRC Press, Boca Raton, FL, 1996. 5. Lanconelli, A: On the extension of a basic property of conditional expectations to second quantization operators, Communications on Stochastic Analysis 3 (2009) 369381. 6. Potthof, J. and Timpel, M.: On a dual pair of spaces of smooth and generalized random variables, Potential Analysis 4 (1995) 637-654. Fariborz Asadian: Department of Mathematics and Computer Science, Fort Valley State University, Fort Valley, GA 31030, USA E-mail address : asadianf@fvsu.edu

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