Stochastic Wiener filter in the white noise space

• Published in: Rocznik Akademii Górniczo-Hutniczej im. Stanisława Staszica. Opuscula Mathematica Vol. 40; no. 3; pp. 323 - 339
• Main Authors: Alpay, Daniel, Pinhas, Ariel
• Format: Journal Article
• Language: English
• Published: AGH Univeristy of Science and Technology Press 01-01-2020
• Subjects: stochastic distribution; white noise space; wick product; wiener filter
• ISSN: 1232-9274
• DOI: 10.7494/OpMath.2020.40.3.323

In this paper we introduce a new approach to the study of filtering theory by allowing the system's parameters to have a random character. We use Hida's white noise space theory to give an alternative characterization and a proper generalization to the Wiener filter over a suitable space of stochastic distributions introduced by Kondratiev. The main idea throughout this paper is to use the nuclearity of this space in order to view the random variables as bounded multiplication operators (with respect to the Wick product) between Hilbert spaces of stochastic distributions. This allows us to use operator theory tools and properties of Wiener algebras over Banach spaces to proceed and characterize the Wiener filter equations under the underlying randomness assumptions.