论文标题

抽象的多项式过程

Abstract polynomial processes

论文作者

Benth, Fred Espen, Detering, Nils, Kruhner, Paul

论文摘要

我们建议仅基于多项式作用算子的多项式过程进行新的方法。通过这种方法,我们可以在一般状态空间上分析此类过程,远远超出了Banach的空间。此外,我们可以在“多项式”含义的定义中非常灵活。我们表明,“多项式过程”普遍意思是“仿射漂移”。对多项式作用算子的简单假设会导致对多项式过程的更强特征。 在我们的框架中,我们不需要明确指定多项式,而可以与状态空间上函数的分级向量空间进行一般序列。这些分级矢量空间的元素通过引入一系列矢量空间互补来形成单元。我们分析的基本工具是多项式动作运算符,该操作员是操作员的半群,绘制作用于多项式过程的单一元素的条件期望值,以与相同或较低等级的单一过程。与经典的欧几里得案件不同,多项式操作员在有限的迭代迭代后不得形成有限维的子空间,这是我们称为本地有限的属性。我们研究了关于多项式作用的代数和拓扑假设下的抽象多项式过程,并建立了仿射漂移结构。此外,我们表征了相似但稍强的条件下的协方差结构。我们分析中的关键部分是使用一级单元的(代数或拓扑)双重双重,它用作多项式过程的状态空间的线性化。我们的一般框架涵盖了Cuchiero和Svaluto-Ferro最近研究的Banach空间中的值。

We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going far beyond Banach spaces. Moreover, we can be very flexible in the definition of what "polynomial" means. We show that "polynomial process" universally means "affine drift". Simple assumptions on the polynomial action operators lead to stronger characterisations on the polynomial class of processes. In our framework we do not need to specify polynomials explicitly but can work with a general sequence of graded vector spaces of functions on the state space. Elements of these graded vector spaces form the monomials by introducing a sequence of vector space complements. The basic tool of our analysis is the polynomial action operator, which is a semigroup of operators mapping conditional expected values of monomials acting on the polynomial process to monomials of the same or lower grade. Unlike the classical Euclidean case, the polynomial action operator may not form a finite-dimensional subspace after a finite iteration, a property we call locally finite. We study abstract polynomial processes under both algebraic and topological assumptions on the polynomial actions, and establish an affine drift structure. Moreover, we characterize the covariance structure under similar but slightly stronger conditions. A crucial part in our analysis is the use of the (algebraic or topological) dual of the monomials of grade one, which serves as a linearization of the state space of the polynomial process. Our general framework covers polynomial processes with values in Banach spaces recently studied by Cuchiero and Svaluto-Ferro.

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