• DOI:10.1080/17442508.2020.1802458
• Corpus ID: 202153401

Independent increment processes: a multilinearity preserving property

@article{Benth2018IndependentIP,
  title={Independent increment processes: a multilinearity preserving property},
  author={Fred Espen Benth and Nils Detering and Paul Kr{\"u}hner},
  journal={Stochastics},
  year={2018},
  volume={93},
  pages={803 - 832}
}

• F. Benth, Nils Detering, Paul Krühner
• Published 5 September 2018
• Mathematics
• Stochastics

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 generalization. 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 necessarily 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.