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DONSKER'S DELTA FUNCTION AND THE COVARIANCE BETWEEN GENERALIZED FUNCTIONALS

Published online by Cambridge University Press:  24 March 2003

FRED ESPEN BENTH  and
SIU-AH NG
FRED ESPEN BENTH
Affiliation:
Department of Mathematics, University of Oslo, PO Box 1053 Blindern, N-0316 Oslo, [email protected] MaPhySto: Centre for Mathematical Physics and Stochastics, University of Aarhus, Ny Munkegade, DK-8000 Århus, Denmark
SIU-AH NG
Affiliation:
School of Mathematics, Statistics and Information Technology, University of Natal, Private Bag X01, Pietermaritzburg, 3209 South [email protected]
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Abstract

A classical space and a nonstandard space are used as models for white noise. The expectation of the product of certain generalized functionals is first proved to be finite. Then the covariance and the correlation between Donsker's delta functions are calculated and given meaning.

Type
Notes and Papers
Information
Journal of the London Mathematical Society , Volume 66 , Issue 1 , August 2002 , pp. 1 - 13
Copyright
The London Mathematical Society, 2002

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