Graph-Theoretic Approach to Stochastic Integrals with Clifford Algebras

George Stacey Staples ()
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George Stacey Staples: Southern Illinois University Edwardsville

Journal of Theoretical Probability, 2007, vol. 20, issue 2, 257-274

Abstract: Abstract Given a fixed probability space (Ω,ℱ,ℙ) and m≥1, let X(t) be an L2(Ω) process satisfying necessary regularity conditions for existence of the mth iterated stochastic integral. For real-valued processes, these existence conditions are known from the work of D. Engel. Engel’s work is extended here to L2(Ω) processes defined on Clifford algebras of arbitrary signature (p,q), which reduce to the real case when p=q=0. These include as special cases processes on the complex numbers, quaternion algebra, finite fermion algebras, fermion Fock spaces, space-time algebra, the algebra of physical space, and the hypercube. Next, a graph-theoretic approach to stochastic integrals is developed in which the mth iterated stochastic integral corresponds to the limit in mean of a collection of weighted closed m-step walks on a growing sequence of graphs. Combinatorial properties of the Clifford geometric product are then used to create adjacency matrices for these graphs in which the appropriate weighted walks are recovered naturally from traces of matrix powers. Given real-valued L2(Ω) processes, Hermite and Poisson-Charlier polynomials are recovered in this manner.

Keywords: Algebraic probability; Combinatorial probability; Geometric algebra (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10959-007-0064-3

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