On stochastic differential equations driven by the renormalized square of the Gaussian white noise

Bilel Kacem Ben Ammou; Alberto Lanconelli

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arXiv · 1501.03360

On stochastic differential equations driven by the renormalized square of the Gaussian white noise

Bilel Kacem Ben Ammou·Alberto Lanconelli

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Abstract

We investigate the properties of the Wick square of Gaussian white noises through a new method to perform non linear operations on Hida distributions. This method lays in between the Wick product interpretation and the usual definition of nonlinear functions. We prove on Ito-type formula and solve stochastic differential equations driven by the renormalized square of the Gaussian white noise. Our approach works with standard assumptions on the coefficients of the equations, Lipschitz continuity and linear growth condition, and produces existence and uniqueness results in the space where the noise lives. The linear case is studied in details and positivity of the solution is proved.

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Bilel Kacem Ben Ammou, Alberto Lanconelli. 2015-01-14. On stochastic differential equations driven by the renormalized square of the Gaussian white noise. https://arxiv.org/abs/1501.03360

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