Hilbert and Banach Space-Valued Stochastic Processes

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CHAPTER I
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INTRODUCTION AND PRELIMINARIES

Hilbert and Banach Space-Valued Stochastic Processes Downloaded from www.worldscientific.com
In this chapter, a brief survey of second order stationary and non-stationary

stochastic processes is given and a motivation to study infinite dimensional non-
stationary, especially harmonizable, stochastic processes is also included. We begin
with a one-dimensional second order stationary stochastic process. We give an out-
line of its integral representation as well as that of its covariance function. This
serves as a motivation for the following work. As a generalization we present har-
monizable and other related processes. Finite and infinite dimensional extensions
of stochastic processes are discussed in some detail to show how functional analysis,
operator algebra, vector measure theory and harmonic analysis play basic roles in
developing the theory of multidimensional stochastic processes.
1.1. Stationary processes
We are concerned, in this book, with second order stochastic processes. Let
(Ω, F, µ) be a probability measure space and consider the Hilbert space L2 (Ω)
consisting of all (equivalence classes of) C-valued random variables on Ω with fi-
nite second moment, where C is the complex number field. We denote the inner
product and the norm in L2 (Ω) by
Z
1
(f, g)2 = f (ω)g(ω) µ(dω), kf k2 = (f, f )22
Ω
2
for f, g ∈ L (Ω).
Let R be the real line and consider a one-dimensional or univariate second
order stochastic process {x(t)} = {x(t)}t∈R on R, i.e., a mapping x(·) : R →
L2 (Ω). We sometimes denote it by x̃ or {x(t, ω)}. We usually consider Ra centered
process {x(t)}, that is, a process such that the expectation E{x(t)} = Ω x(t) dµ =
0 for every t ∈ R , since the second order (or covariance) properties are of primary
interest. Henceforth, putting

L20 (Ω) = f ∈ L2 (Ω) : E{f } = 0 ,
1
2 I. INTRODUCTION AND PRELIMINARIES
we treat L20 (Ω)-valued processes. As we will see later, the index set R can be
replaced by Z, the set of all integers, or any locally compact abelian group G.
Weak stationarity was introduced to L20 (Ω)-valued processes by Khintchine [1] in
1934. This notion is important in various applications and also it gives a beautiful
theory of weakly stationary processes. Here we do not treat strong stationarity, so
that we will use the terminology of “stationarity” to stand for “weak stationarity.”
Thus, let {x(t)} be an L20 (Ω)-valued process. Then it is said to be stationary

if its covariance function γ(s, t) = (x(s), x(t))2 , s, t ∈ R depends only on the

difference s − t and if γ̃(s − t) = γ(s, t), then γ̃ : R → C is continuous.
Now let us proceed to obtain an integral representation of a stationary process
{x(t)} with the covariance function γ (of one variable). Observe that γ is posi-
tive definite in the sense that for any n ∈ N (= the set of all positive integers),
α1 , . . . , αn ∈ C and t1 , . . . , tn ∈ R it holds that
n X
n X 2
X n

αj αk γ(tj − tk ) = αk x(tk )
≥ 0.
j=1 k=1 k=1 2
By Bochner’s theorem on the integral representation of such functions, there exists

a finite positive measure ν on (R , B), B being the Borel σ-algebra of R , such
that Z
γ(t) = eitu ν(du), t ∈ R. (1.1)
R
ν is called the spectral measure of the process and is sometimes denoted by νx̃ .
The time domain H(x̃) of {x(t)} is defined by

H(x̃) = S0 x(t) : t ∈ R ,
the closed subspace of L20 (Ω) generated by the set {x(t) : t ∈ R}. For each t ∈ R
define an operator U (t) on H(x̃) by
U (t)x(s) = x(s + t), s ∈ R,
or more generally by
X
n Xn
U (t) αk x(tk ) = αk x(tk + t),
k=1 k=1
where αk ∈ C and tk ∈ R for 1 ≤ k ≤ n. Then by the stationarity of {x(t)} we

have for s, u ∈ R

U (t)x(s), U (t)x(u) 2
= x(s + t), x(u + t)2

= γ(s − u) = x(s), x(u) 2 .
1.1. STATIONARY PROCESSES 3
Hence U (t) is well-defined and can be uniquely extended by linearity to a unitary

operator on H(x̃), still denoted by U (t). It holds that U (s + t) = U (s)U (t), U (0) =
1 (the identity operator) and U (t)−1 = U (−t) for s, t ∈ R. Since γ is continuous,
{U (t)}t∈R forms a strongly continuous group of unitary operators on H(x̃). Thus
by Stone’s theorem there is a spectral measure E(·) on (R, B) such that
Z
U (t) = eitu E(du), t ∈ R.

R
Consequently we have
Z
x(t) = U (t)x(0) = eitu E(du)x(0), t ∈ R.
R
If we put ξ(A) = E(A)x(0) for A ∈ B, then ξ is an L20 (Ω)-valued bounded and
countably additive measure, and is orthogonally scattered, i.e., (ξ(A), ξ(B))2 = 0
for every disjoint pair A, B ∈ B. We denote it by ξ ∈ caos(B, L20 (Ω)). Therefore
we have the integral representation of the stationary process {x(t)} by a Hilbert
space-valued countably additive orthogonally scattered measure ξ, called the rep-
resenting measure, as follows:
Z
x(t) = eitu ξ(du), t ∈ R. (1.2)
R
Here and elsewhere integrals relative to vector measures are defined in the well-
known Dunford-Schwartz sense. Note that the process is expressed as the Fourier
transform of a vector measure and the representing measure is unique. Moreover,
for t ∈ R it holds that Z

γ(t) = x(t), x(0) 2 = eitu ξ(du), ξ(R)
Z R 2
itu

= e ξ(du), ξ(du) 2 .
R
By the uniqueness of the measure in (1.1) we see that ν(·) = (ξ(·), ξ(·))2 .
Let Sξ = S0 {ξ(A) : A ∈ B}, the closed subspace of L20 (Ω) generated by the
set {ξ(A) : A ∈ B}. Consider the Hilbert space L2 (ν) = L2 (R, ν), which we
call the spectral domain of the process {x(t)}. Then Kolmogorov isomor-
phism theorem states that for every stationary process {x(t)} the time and the
spectral domains are isomorphic, denoted H(x̃) ' L2 (ν), where the isomorphism
U : L2 (ν) → H(x̃) is given by
Z
U (f ) = f dξ, f ∈ L2 (ν). (1.3)
R
Here the integral is a suitably defined stochastic integral, which is equivalent to the
Dunford-Schwartz (DS-) integral (cf. Dunford and Schwartz [1, IV.10]). Note that
H(x̃) = Sξ and hence Sξ ' L2 (ν).
1.2. Harmonizable processes
In many applications stationarity is too restrictive and somewhat weaker condi-

tions are needed. Harmonizability was first introduced by Loève [2] in the middle of
1940s. Later weaker harmonizability was introduced by Rozanov [1] in 1959. These
two notions were distinguished by calling them weak and strong harmonizabilities
by Rao [4] in 1982.
Let {x(t)} be an L20 (Ω)-valued process with the covariance function γ. Then it
is said to be strongly harmonizable if γ can be expressed as
ZZ
γ(s, t) = ei(su−tv) m(du, dv), s, t ∈ R (2.1)
R2
for some positive definite bimeasure m : B × B → C of bounded variation,

where B × B = {A × B : A, B ∈ B} and the variation (= Vitali variation) is
given by
n
X̀ X
|m|(A, B) = sup m(Aj , Bk ), A, B ∈ B,
j=1 k=1
the supremum being taken over all finite measurable partitions {A1 , . . . , A` } of A
and {B1 , . . . , Bn } of B, respectively. That is, m satisfies the following conditions:
i) m(A, ·), m(·, A) ∈ ca(B, C), the space of all C-valued countably additive mea-
sures on B, for every A ∈ B;
ii) m is a positive definite kernel on B × B in the sense that for every n ∈ N,
α1 , . . . , αn ∈ C and A1 , . . . , An ∈ B it holds that
n X
X n
αj αk m(Aj , Ak ) ≥ 0;
j=1 k=1
iii) |m|(R , R) < ∞.

In this case m can be extended to a measure on B ⊗ B, the Borel σ-algebra of
R2 , and the integral in (2.1) is a Lebesgue integral. {x(t)} is said to be weakly
harmonizable if γ can be expressed as in (2.1) for some bimeasure m of finite
semivariation, where the semivariation (= Fréchet variation) is given by
n
X̀ X

kmk(A, B) = sup αj β k m(Aj , Bk ), A, B ∈ B,
j=1 k=1
the supremum being taken over all finite measurable partitions {A1 , . . . , A` } of A
and {B1 , . . . , Bn } of B and for all αj , βk ∈ C with |αj |, |βk | ≤ 1, 1 ≤ j ≤ `,
1 ≤ k ≤ n. That is, m satisfies i) and ii) above and kmk(R , R) < ∞. [Originally
1.2. HARMONIZABLE PROCESSES 5
the terminology “semivariation” was used for vector measures. However, the semi-
variation defined above for bimeasures plays exactly the same role as that defined
for vector measures. Thus we adopt this terminology for bimeasures. Also for a
bimeasure m one can show that kmk(R, R) < ∞ is always true since B is a σ-
algebra (cf. Chang and Rao [2, p. 21]).] In this case the integral in (2.1) is a (strict)
Morse-Transue (MT-) integral (cf. Morse and Transue [4] and for the restricted
version see the preceding reference). In both cases the bimeasure m is called the
spectral bimeasure of the process {x(t)}.

Since the integrand ei(su−tv) = eisu e−itv = ϕ1 (u)ϕ2 (v), say, in the integral (2.1)
is the product of one variable bounded continuous functions, we can interpret the
MT-integral as follows. For A, B ∈ B, ϕ1 is m(·, B) integrable and ϕ2 is m(A, ·)
integrable. Hence, putting
Z
µ1 (A) = ϕ2 (v) m(A, dv), A ∈ B,
R
Z
µ2 (B) = ϕ1 (u) m(du, B), B ∈ B,
R
we see that µ1 , µ2 ∈ ca(B, C), and ϕj is µj integrable for j = 1, 2. Moreover,
they have the same integrals, i.e.,
Z Z
ϕ1 dµ1 = ϕ2 dµ2 ,
R R
RR
which we denote by R2 ϕ1 (u)ϕ2 (v) m(du, dv).
To obtain an integral representation of a (weakly or strongly) harmonizable pro-
cess we have to work a little more. Let {x(t)} be an L20 (Ω)-valued weakly harmo-
nizable process with the covariance function γ and the spectral bimeasure m. Since
m : B × B → C is a positive definite kernel, we can use Aronszajn’s reproducing
kernel Hilbert space (RKHS) theory to get a Hilbert space Hm consisting of
C-valued functions on B, which belong to ca(B, C), such that
(i) m(A, ·) ∈ Hm for every A ∈ B;
(ii) ν(A) = (ν(·), m(A, ·))m for every ν ∈ Hm and A ∈ B, where (·, ·)m is the
inner product in Hm .
(ii) is called the reproducing property (cf. Aronszajn [1]). The outline of obtain-
ing the RKHS Hm is as follows. Let
( n )
X
H0 = αk m(Ak , ·) : αk ∈ C, Ak ∈ B, 1 ≤ k ≤ n, n ∈ N ,
k=1
P`
which is clearly a subset of ca(B, C). Define for ν(·) = j=1 αj m(Aj , ·) and λ(·) =
Pn
k=1 βk m(Bk , ·) ∈ H0
n
X̀ X
(ν, λ)m = αj β k m(Aj , Bk ).
j=1 k=1
Since m is a positive definite kernel, (·, ·)m defines an inner product in H0 . The
RKHS Hm is obtained by the functional completion of H0 , that is, by adding
some elements of ca(B, C) to H0 we make the resulting space Hm to be a Hilbert
space.
Let η(A) = m(A, ·) for A ∈ B. Then η is an Hm -valued bounded and
countably additive measure on (R, B), denoted η ∈ ca(B, Hm ), and m(A, B) =
(η(A), η(B))m holds for A, B ∈ B by the reproducing property (ii). Define an

Hm -valued process {y(t)} by

Z
y(t) = eitu η(du), t∈R (2.2)
R
and an operator V : H(ỹ) → H(x̃) by
V y(t) = x(t), t ∈ R.
Then we see that

V y(s), V y(t) 2
= x(s), x(t) 2
ZZ
= ei(su−tv) m(du, dv)
Z ZR
2

= ei(su−tv) η(du), η(dv) m
ZR
2
Z
isu itv
= e η(du), e η(dv)
R R m

= y(s), y(t) m
for every s, t ∈ R. Thus V can be extended (by linearity) to a unitary operator

from H(ỹ) onto H(x̃). Put ξ = V η. Then ξ ∈ ca(B, L20 (Ω)) and for t ∈ R
Z
x(t) = V y(t) = V eitu η(du)
R
Z Z
itu
= e V η(du) = eitu ξ(du), (2.3)
R R
since V and the integral commute (cf. Dunford and Schwartz [1, IV.10]). Therefore
we have an integral representation of the L20 (Ω)-valued weakly harmonizable process
{x(t)} with the unique representing measure ξ ∈ ca(B, L20 (Ω)).
Let us add some remarks here. Note that the spectral bimeasure m of the process
is expressed as m(A, B) = (ξ(A), ξ(B))2 ≡ mξ (A, B) for A, B ∈ B. Also note that
the Hm -valued process {y(t)} defined in (2.2) can be regarded as a weakly harmo-
nizable process with the representing measure η ∈ ca(B, Hm ) and its image by any
1.2. HARMONIZABLE PROCESSES 7
bounded linear operator is also weakly harmonizable. That is, if H and K are two
Hilbert spaces and {x(t)} is an H-valued weakly harmonizable process, then, for
any bounded linear operator T from H into K, a K-valued process {T x(t)} is also
weakly harmonizable. But this is not necessarily true for stationary or strongly har-
monizable processes. Finally note that a weakly harmonizable process is stationary
if and only if its representing measure is orthogonally scattered.
Now we state a characterization of weakly harmonizable processes. Let {y(t)}

be an L20 (Ω)-valued stationary process and P : L20 (Ω) → K be the orthogonal pro-
jection of L20 (Ω) onto some closed subspace K. Then, as was noted before, the
process {P y(t)} is weakly harmonizable. The converse is also true and is known
as stationary dilation. That is, for any L20 (Ω)-valued weakly harmonizable pro-
cess {x(t)} there exists a Hilbert space L20 (Ω̃) on some probability measure space
(Ω̃, F̃, µ̃) containing L20 (Ω) as a closed subspace, and an L20 (Ω̃)-valued stationary
process {y(t)} such that x(t) = P y(t) for t ∈ R , where P : L20 (Ω̃) → L20 (Ω) is the
orthogonal projection. This is based on the orthogonally scattered dilation of
Hilbert space-valued measures and was first proved by Niemi [2] in 1975. The latter
result, in an abstract setting, was actually proved by Sz.-Nagy [2] in 1955, extending
an earlier result by Naimark [1, 2].
In the rest of this section we give definitions of classes of stochastic processes
most of which have integral representations with respect to stochastic measures,
i.e., elements of ca(B, L20 (Ω)), and state their interrelations.
Another extension of stationarity appeared in Karhunen [1] in 1947, which is of
interest in applications. An L20 (Ω)-valued process {x(t)} is said to be of Karhunen
class if its covariance function γ can be expressed as
Z
γ(s, t) = g(s, u)g(t, u) ν(du), s, t ∈ R, (2.4)
R
where ν ∈ ca(B, R+ ) (R+ = [0, ∞)) and {g(t, ·) : t ∈ R} ⊆ L2 (R , ν). Thus, if

g(t, u) = eitu, then (2.4) reduces to the stationary case.
A further generalization of the Karhunen class was introduced by Cramér [2]
in 1951. A process {x(t)} is said to belong to the strong Cramér class if its
covariance function γ can be written as
ZZ
γ(s, t) = g(s, u)g(t, v) m(du, dv), s, t ∈ R (2.5)
R2
for some positive definite bimeasure m of bounded variation and some family
{g(t, ·) : t ∈ R} of Borel functions. When the bimeasure m in (2.5) is simply
of bounded semivariation, the process is of weak Cramér class, relative to the
family {g(t, ·) : t ∈ R}.
Integral representations for these classes are available. If {x(t)} is of Karhunen
class with a family {g(t, ·) : t ∈ R} ⊆ L2 (R , ν), then there is a ξ ∈ caos B, L20 (Ω)
such that Z
x(t) = g(t, u) ξ(du), t∈R (2.6)
R
and ν(·) = (ξ(·), ξ(·))2 . Similarly, if {x(t)} is of (weak or strong) Cramér class with
an individually bounded family of Borel functions {g(t, ·) : t ∈ R}, then there is
a ξ ∈ ca(B, L20 (Ω)) such that (2.6) holds. Thus, such a process has a Karhunen
dilation by an orthogonally scattered dilation of the representing measure.
In 1953 Bochner [1] introduced V -boundedness which makes full use of Fourier
analysis. An L20 (Ω)-valued process {x(t)} is said to be V -bounded if, as a mapping
x(·) : R → L20 (Ω), x(·) is bounded and norm continuous, and if the set
Z
C= ϕ(t)x(t) dt : kϕ̂k∞ ≤ 1, ϕ ∈ L1 (R)

R
is a bounded subset of L20 (Ω), where the measure of L1 (R) is the RLebesgue measure
dt, ϕ̂ is the Fourier transform, k · k∞ is the sup-norm, and R ϕ(t)x(t) dt is a
Bochner integral. Then it holds that an L20 (Ω)-valued process is weakly harmonizable
if and only if it is V -bounded. This was implicitly given by Niemi [1] in 1975 and
explicitly given by Miamee and Salehi [3] in 1978. Rao [4] gave a different proof of
that result.
The concept of the spectral measure (not bimeasure) can be generalized. In the
late 1950’s Kampe de Fériet and Frenkiel [1, 2], and independently Parzen [2] and
Rozanov [1] defined “associated spectrum” for a process {x(t)} for which
Z
1 t
γ̃(h) = lim γ(s, s + h) ds, h∈R
t→∞ t 0
exists and is positive definite and continuous in h, where γ is the covariance function
of the process. In this case, by Bochner’s theorem there is a ν ∈ ca(B, R+ ), called
the associated spectrum of {x(t)}, such that
Z
γ̃(h) = eihu ν(du), h ∈ R.
R
Such a process is said to be of KF-class or asymptotically stationary. Unfortu-
nately, not every process of KF-class allows an integral representation.
The following inclusion relations hold among the classes introduced so far, which
are generally proper:
weak Cramér class ⊃ strong Cramér class ⊃ Karhunen class
∪
V -bounded class = weakly harmonizable class
∪
KF class ⊃ strongly harmonizable class
∪
stationary class
1.3. MULTIDIMENSIONAL AND OTHER EXTENSIONS 9
1.3. Multidimensional and other extensions
Let (Ω, F, µ) and L20 (Ω) be as before. Let q ≥ 2 be an integer. Then we can
consider q-dimensional second order stochastic process {x(t)} by setting
t
x(t) = x1 (t), . . . , xq (t) , t ∈ R,
where {xk (t)} is an L20 (Ω)-valued process for 1 ≤ k ≤ q and “t” stands for the
transpose. That is, {x(t)} is an [L20 (Ω)]q -valued process. For x = (x1 , . . . , xq )t and
y = (y 1 , . . . , y q )t ∈ [L20 (Ω)]q the inner product and the norm are defined respectively
by
X q Xq 21
(x, y)2,q = (xk , y k )2 , kxk2,q = kxk k22 .
k=1 k=1
Moreover, [L20 (Ω)]q q

has a matrix-valued or B(C )-valued inner product [·, ·]q , called
the gramian, defined by
 1 1 
(x , y )2 · · · (x1 , y q )2
 .. .. .. 
[x, y]q = xy t =  . . . ,
(xq , y 1 )2 ··· (xq , y q )2
where B(Cq ) is the algebra of all bounded linear operators on Cq with the Euclidean
norm. Thus we have to consider two kinds of covariance functions for {x(t)}. The
scalar covariance function γ is defined by

γ(s, t) = x(s), x(t) 2,q , s, t ∈ R
as before and the matricial or operator covariance function Γ by

Γ(s, t) = x(s), x(t) q , s, t ∈ R.
Clearly, operator covariance functions are more general than scalar ones in the theory
of multidimensional processes because γ(s, t) = tr Γ(s, t), where tr(·) is the trace
of the matrix.
At first let us consider [L20 (Ω)]q -valued stationary processes. An [L20 (Ω)]q -valued
process {x(t)} is said to be operator stationary if its operator covariance function
Γ(s, t) depends only on the difference s−t and if, putting Γ̃(s−t) = Γ(s, t), each of
the components of Γ̃ is continuous on R. As in the one-dimensional case we can show
that there exists a hermitian positive B(Cq )-valued countably additive measure F ,
denoted F ∈ ca(B, B + (Cq )), and an [L20 (Ω)]q -valued countably additive gramian
orthogonally scattered measure ξ, denoted ξ ∈ cagos(B, [L20 (Ω)]q ), such that
Z
Γ̃(t) = eitu F (du), t ∈ R, (3.1)
R

Z
x(t) = eitu ξ(du), t ∈ R.
R
If we write ξ = (ξ 1 , . . . , ξ q )t , then it is easily shown that ξ k ∈ caos(B, L20 (Ω)), 1 ≤
k ≤ q and they are biorthogonal, i.e., (ξ j (A), ξ k (B))2 = 0 for any disjoint
A, B ∈ B and 1 ≤ j, k ≤ q because of gramian orthogonal scatteredness of ξ, i.e.,
[ξ(A), ξ(B)]q = 0 for disjoint A, B ∈ B. Thus, each component {xk (t)}, 1 ≤ k ≤ q
of an operator stationary process {x(t)} is an L20 (Ω)-valued stationary process with

the representing measure ξ k .

Similarly an [L20 (Ω)]q -valued process {x(t)} is said to be weakly or strongly
harmonizable if each component {xk (t)}, 1 ≤ k ≤ q is an L20 (Ω)-valued weakly
or strongly harmonizable process, respectively. If ξ k ∈ ca(B, L20 (Ω)) is the rep-
resenting measure of {xk (t)} for 1 ≤ k ≤ q, then, putting ξ = (ξ 1 , . . . , ξ q )t ∈
ca(B, [L20 (Ω)]q ), we have
Z
R
Since every L20 (Ω)-valued weakly harmonizable process has a stationary dilation, for
each k = 1, . . . , q there exists an L2 -space L20 (Ωk ) on some probability measure
space (Ωk , Fk , µk ) containing L20 (Ω) as a closed subspace, and an L20 (Ωk )-valued
stationary process {y k (t)} with the representing measure η k ∈ caos(B, L20 (Ωk ))
such that xk (t) = Pk y k (t), t ∈ R, where Pk : L20 (Ωk ) → L20 (Ω) is the orthogonal
projection. Choose a probability measure space (Ω̃, F̃, µ̃) such that L20 (Ω̃) may
contain L20 (Ωk ) as a closed subspace for k = 1, . . . , q and consider an [L20 (Ω̃)]q -
valued process {y(t)} defined by y(t) = (y 1 (t), . . . , y q (t))t , t ∈ R. Then we see that
{y(t)} is operator stationary with the representing measure η = (η 1 , . . . , η q )t ∈
Lq
cagos(B, [L20 (Ω̃)]q ) and satisfies that x(t) = P y(t), t ∈ R , where P = k=1 P̃k :
[L20 (Ω̃)]q → [L20 (Ω)]q is the gramian orthogonal projection, P̃k being the extension
of Pk to L20 (Ω̃).
In a similar way, we can define q-dimensional processes of Karhunen, weak
Cramér, strong Cramér and KF-classes in a componentwise manner.
We now consider the case that the vector-valued process has infinitely many
components. To obtain an infinite dimensional extension, we have to work a little
harder. For q ∈ N observe the identification [L20 (Ω)]q = L20 (Ω ; Cq ), the latter being
the Hilbert space of all Cq -valued random variables x on Ω with zero expectation
such that Z

x(ω) 2 q µ(dω) < ∞,
C
R
where k·kCq is the usual Euclidean norm in Cq . If q = ∞, we want to consider
the Hilbert space L20 (Ω ; `2 ) of all `2 -valued (strong) random variables x on Ω with
zero expectation such that
Z

x(ω) 22 µ(dω) < ∞,
`
R
where k · k`2 is the norm in the sequence Hilbert space `2 . Hence, letting H be
an arbitrary (infinite dimensional) Hilbert space, we can consider the Hilbert space
L20 (Ω ; H) and an L20 (Ω ; H)-valued process {x(t)} as an infinite dimensional
second order stochastic process.
Let X = L20 (Ω ; H) and study its structure. To do this we need properties of
Hilbert-Schmidt class and trace class operators on a Hilbert space, which are seen
in Schatten [1, 2]. The inner product (·, ·)X and the norm k·kX are respectively
defined by
Z
1
(x, y)X = x(ω), y(ω) H µ(dω), kxkX = (x, x)X
2
for x, y ∈ X, where (·, ·)H is the inner product in H. The gramian [·, ·]X in X
is defined by Z
[x, y]X = x(ω) ⊗ y(ω) µ(dω) (3.2)
R
for x, y ∈ X, where ⊗ is the tensor product in the sense of Schatten [2], that is,
(φ ⊗ ψ )φ0 = (φ0 , ψ)H φ for φ, ψ, φ0 ∈ H. The operator defined by (3.2) is as follows:
Z

[x, y]X φ, ψ H
= x(ω) ⊗ y(ω) φ, ψ µ(dω)
H
ZΩ

= x(ω), ψ H
φ, y(ω) H µ(dω)
Ω
for φ, ψ ∈ H. That [x, y]X is well-defined and gives an element of T (H), the set of
all trace class operators on H, is seen as follows. Let φ ∈ H and x ∈ X. Observe
that (φ, x(ω))H ∈ C for each ω ∈ Ω and (φ, x(·))H is a function on Ω. Let us
denote it by hφ, xiH :

hφ, xiH (ω) = φ, x(ω) H
, ω ∈ Ω. (3.3)
It is easy to see that hφ, xiH ∈ L20 (Ω) since

Z

hφ, xiH 2 = φ, x(ω) 2 µ(dω)
2 H
ZΩ
2
≤ kφk2H x(ω) H µ(dω)
Ω
= kφk2H kxk2X < ∞.
Now for x ∈ X define an operator Tx : H → L20 (Ω) by
Tx φ = hφ, xiH , φ ∈ H. (3.4)

It follows from the above computation that Tx is a bounded linear operator with
kTx k ≤ kxkX and, moreover, a Hilbert-Schmidt class operator, denoted Tx ∈
S(H, L20 (Ω)). In fact, letting {φα }α∈I be an orthonormal basis of H, the Hilbert-
Schmidt norm kTx kσ of Tx is calculated as
X X
kTx k2σ = kTx φα k22 = hφα , xiH 2
2
α∈I α∈I
XZ

= φα , x(ω) 2 µ(dω)
H
α∈I Ω
Z X

= φα , x(ω) 2 µ(dω)
H
Ω α∈I
Z

= x(ω) 2 µ(dω) = kxk2X < ∞, (3.5)
H
Ω
where we used the Bounded Convergence Theorem and Parseval’s equality. Further-
more, [x, y]X = Tx∗ Ty holds since for φ, ψ ∈ H we have that

Tx∗ Ty φ, ψ H
= (Ty φ, Tx ψ)2 = hφ, yiH , hψ, xiH 2
Z

= φ, y(ω) H ψ, x(ω) H µ(dω)
ZΩ

= x(ω) ⊗ y(ω) φ, ψ µ(dω)
Ω H

= [x, y]X φ, ψ H . (3.6)
Therefore, [x, y]X is a product of two Hilbert-Schmidt class operators and hence a
trace class operator. It can also be checked that
X 1
tr [x, y]X = [x, y]X φα , φα H
= (x, y)X , kxkX = [x, x]X τ2
α∈I
for x, y ∈ X, where tr(·) is the trace and k·kτ is the trace norm. If x = f φ and
y = gψ, where f, g ∈ L20 (Ω) and φ, ψ ∈ H, then we see that
[x, y]X = [f φ, gψ]X = (f, g)2 φ ⊗ ψ.
Thus we obtained a T (H)-valued gramian [·, ·]X on X. Clearly, it holds that

(i) [x, x]X ≥ 0, and [x, x]X = 0 if and only if x = 0;
(ii) [x + y, z]X = [x, z]X + [y, z]X ;
(iii) [ax, y]X = a[x, y]X ;
(iv) [x, y]∗X = [y, x]X ,
for x, y, z ∈ X and a ∈ B(H), the algebra of all bounded linear operators on H.

Since X is a left B(H)-module under the module action (a, x) 7→ a · x = ax for
x ∈ X and a ∈ B(H), and is a Hilbert space with a T (H)-valued gramian, we call
it a normal Hilbert B(H)-module. As we shall see later (Sections 2.1 and 2.3)
L20 (Ω ; H) and S(L20 (Ω), H) are isomorphic as normal Hilbert B(H)-modules by the
isomorphism U : x 7→ Tx∗ where Tx is defined by (3.4) (cf. (3.5) and (3.6)). We
shall make full use of this space later in stochastic analysis.

X = L20 (Ω ; H)-valued operator stationary processes are defined similarly as in the

case of [L20 (Ω)]q -valued processes. Now we want to define X-valued harmonizable
processes. Let {x(t)} be an X-valued process with the operator covariance function
Γ given by Γ(s, t) = [x(s), x(t)] for s, t ∈ R and suppose that Γ has an integral
representation
ZZ
Γ(s, t) = ei(su−tv) M (du, dv), s, t ∈ R (3.7)
R2
for some T (H)-valued positive definite bimeasure M on B×B. If M is of bounded

semivariation, which is equivalent to sup{kM (A, B)kτ : A, B ∈ B} < ∞, then the
integral in (3.7) is a well-defined vector MT-integral developed by Ylinen [2]. In this
case we can prove by an analog of RKHS theory for vector-valued positive definite
kernels that there exists an X-valued measure ξ ∈ ca(B, X) such that
Z
R
Hence {x(t)} may be termed “weakly harmonizable,” but it does not have an op-
erator stationary dilation in general. [See Chapter V for more details.]
Thus we need a stronger notion of harmonizability. In order to integrate operator-
valued functions with respect to a T (H)-valued bimeasure M or an X-valued mea-
sure ξ we introduce the following. The operator semivariation kM ko (·, ·) of a
T (H)-valued positive definite bimeasure M is defined by
X
m X
n

kM ko (A, B) = sup
a j M (A j , B ∗
k k ,
)b A, B ∈ B,
j=1 k=1 τ
where the supremum is taken over all finite measurable partitions {A1 , . . . , Am } of
A and {B1 , . . . , Bn } of B, and aj , bk ∈ B(H) with kaj k, kbk k ≤ 1 for 1 ≤ j ≤ m
and 1 ≤ k ≤ n. If M is of bounded operator semivariation, i.e., kM ko (R, R) < ∞,
then the representing measure ξ of {x(t)} is also of bounded operator semivariation,
denoted ξ ∈ bca(B, X). Here the operator semivariation kξko (·) of ξ is defined
by X
n
kξko (A) = sup
ak ξ(A
k ,
) A ∈ B,
k=1 X
the supremum being taken over all finite measurable partitions {A1 , . . . , An } of
A and ak ∈ B(H) with kak k ≤ 1 for 1 ≤ k ≤ n. If this is the case, {x(t)} is
said to be weakly operator harmonizable and we can show that {x(t)} has an
operator stationary dilation, i.e., there exists a normal Hilbert B(H)-module
Y = L20 (Ω̃ ; H) containing X as a closed submodule and a Y -valued operator sta-
tionary process {y(t)} such that x(t) = P y(t), t ∈ R , where P : Y → X is the
(gramian) orthogonal projection.

For a further investigation we need to develop integration theory of operator-

valued functions with respect to an X-valued measure ξ ∈ ca(B, X) and a T (H)-
valued bimeasure M .
Let us add a remark here. For x ∈ X and φ ∈ H, hx, φiH ∈ L20 (Ω) can be
defined similarly as in (3.3) by hx, φiH (ω) = (x(ω), φ)H , ω ∈ Ω. If {φα }α∈I is an
orthonormal basis of H, then each x ∈ X can be expanded as
X
x= hx, φα iH φα , (3.8)
α∈I
which converges in the norm of X. If H is separable, then it has an orthonormal

basis {φk }∞
k=1 . In this case, for each X-valued process {x(t)} let
n
X

xn (t) = x(t), φk H φk , n ∈ N.
k=1
Then, since kxn (t)−x(t)kX → 0 for every t ∈ R by (3.8), we can regard {xn (t)}∞
n=1
as a finite dimensional approximation of {x(t)}.
There are other infinite dimensional extensions of second order stochastic pro-
cesses. Let X be a Banach space and consider the Banach space L20 (Ω ; X) of all
X-valued random variables x on Ω with zero expectation of strong second order,
i.e., Z

x(ω) 2 µ(dω) < ∞,
X
Ω
where k·kX is the norm in X. Take an x ∈ L20 (Ω ; X) and observe that x∗ (x(·)) ∈
L20 (Ω) for every x∗ ∈ X∗ , the dual space of X, since
Z Z
∗
x x(ω) 2 µ(dω) ≤ kx∗ k2X∗ x(ω) 2 µ(dω) < ∞,
X
Ω Ω
k·kX∗ being the norm in X∗ . Hence each x ∈ L20 (Ω ; X) defines a bounded linear
operator Tx : X∗ → L20 (Ω) given by

(Tx x∗ )(ω) = x∗ x(ω) = x(ω), x∗ , x∗ ∈ X∗ , ω ∈ Ω. (3.9)
Thus, instead of thinking about L20 (Ω ; X)-valued processes we can consider

B(X∗ , L20 (Ω))-valued processes, or more abstractly, B(Y, K)-valued processes, where
Y is a Banach space and K is a Hilbert space. In this case, if {x(t)} is a B(Y, K)-
valued process on R, then the operator covariance function Γ is defined by
Γ(s, t) = x(t)∗ x(s), s, t ∈ R,
which is a B(Y, Y∗ )-valued function on R2 , as initiated by Chobanyan [1] (1969),

[2] (1970) and [3] (1971), and Chobanyan and Weron [1] (1975). They developed
stationarity for such processes. Note that the space B(Y, K) is a right B(Y)-
module and a left B(K)-module with a B(Y, Y∗ )-valued gramian [x, y] = y ∗ x for
x, y ∈ B(Y, K).
If we consider X-valued random variable x of weak second order, i.e.,
Z

x(ω), x∗ 2 µ(dω) < ∞, x∗ ∈ X∗ ,
Ω
the induced operator Tx : X∗ → L2 (Ω) given by (3.9) is bounded. Moreover, if x

is an X-valued random variable of weak p th order (p ∈ N), then Tx is a bounded
operator in B(X∗ , Lp (Ω)). Generalizing this idea will lead to explore B(Y, Z)-valued
processes, where Y and Z are any Banach spaces.
So far the index set of processes has been restricted to the real line R. When
we consider Z, the set of all integers, then {x(n)}n∈Z ⊂ L20 (Ω) may be called a
stochastic sequence. If we take Rk , then {x(t)}t∈Rk may be called a stochastic
field. More generally, we can take an LCA (= locally compact abelian) group G
as an index set and call {x(t)}t∈G a stochastic process as before, and we shall
mainly be concerned with this case. If G = Rk , then we can consider isotropy
on processes, which concerns the rotational invariance about the origin. If G is
a nonabelian locally compact group, some difficulties arise. To define and obtain
integral representation of stationary or harmonizable processes, we have to define
suitable Fourier transform by making use of C ∗-algebra theory. A hypergroup was
introduced by Jewett [1] and others, and has important applications. When G is a
commutative hypergroup, we can consider various types of processes on G as well.
Another way to extend the stochastic processes is to use the set of test functions
D = C00 ∞
(R), the set of all C-valued functions on R with compact supports that
are infinitely many times differentiable (cf. Schwartz [1] (1957) and [2] (1959)). If
{x(t)} is an L20 (Ω)-valued continuous process on R, then we can introduce a one-
dimensional random distribution {x(ϕ)} given by
Z
x(ϕ) = x(t)ϕ(t) dt, ϕ ∈ D. (3.10)
R
If {x(t)} is stationary, i.e.,

γ(s, t) = x(s), x(t) 2
= x(s + h), x(t + h) 2

= U (h)x(s), U (h)x(t) 2 , s, t, h ∈ R,
then the random distribution {x(ϕ)} is stationary in the sense that

U (h)x(ϕ), U (h)x(ψ) 2 = x(ϕ), x(ψ) 2 , h ∈ R, ϕ, ψ ∈ D,
where U (h)x(ϕ) = x(U (h)ϕ). In this case there exists a unique ρ ∈ D0 (the dual
space of D) such that

x(ϕ), x(ψ) 2 = ρ(ϕ ∗ ψ̃), ϕ, ψ ∈ D, (3.11)
where ϕ ∗ ψ̃ is the convolution of ϕ and ψ̃(t) = ψ(−t), t ∈ R. Actually, (3.11) char-

acterizes the stationarity of the random distribution {x(ϕ)}. Itô [1] (1953) initiated
the idea of random distributions, where he studied their stationarity.
When {x(t)} is an X = L20 (Ω ; H)-valued continuous process, then {x(ϕ)}
defined by (3.10) gives an infinite dimensional random distribution. Operator sta-
tionarity is introduced for such {x(ϕ)} and we can generalize the results on the
one-dimensional case.
Bibliographical notes
There are several books which deal with (weakly) stationary processes, e.g.,
Cramér and Leadbetter [1] (1967), Doob [1] (1953), Loève [3] (1955), Rosenblatt
[1] (1985), Rozanov [2] (1967), [3] (1977) and Yaglom [2] (1987). Those which treat
nonstationary processes are very few. We refer to Priestley [1] (1988) for time series
and Yaglom [2] (1987). Two Proceedings edited by Mandrekar and Salehi [4] (1983)
and Miamee [4] (1992) are good references for both stationary and nonstationary, or
one-dimensional and multidimensional processes. As a forthcoming book we refer to
Rao [16].
We shall give a brief historical note here.
For one-dimensional second order stochastic processes, (weak) stationarity was
first introduced by Khintchine [1] (1934) as was mentioned in Section 1.1. Kol-
mogorov [1] (1941) studied interpolation and extrapolation of stationary sequences.
Cramér [1] (1940) treated multidimensional stationary processes and gave a so called
Cramér decomposition of the spectral measure of a process. An extensive study of
multidimensional stationary processes was done by Wiener and Masani [1] (1957) and
[2] (1958), Masani [1] (1960), and Helson and Lowdenslager [1] (1958) and [2] (1961).
Masani [2] (1966) gives a survey for multidimensional stationary processes. Infinite
dimensional (or Hilbert space-valued) stationary processes appeared in Kallianpur
and Mandrekar [1] (1965). Later on Payen [1] (1967), Nadkarni [1] (1970), Man-
drekar and Salehi [2] (1970), Kallianpur and Mandrekar [2] (1971) and Truong-van
BIBLIOGRAPHICAL NOTES 17
[3] (1985) give several results on infinite dimensional stationary processes. Some of
these authors considered Hilbert-Schmidt class operator-valued processes instead of
considering L2 (Ω ; H)-valued processes. Gangolli [1] (1963) already treated B(H, K)-
valued stationary processes where H and K are Hilbert spaces. Makagon and Salehi
[1] (1987) studied in this direction in detail. This idea appears in treating Banach
space-valued second order stochastic processes, which was seen in Section 1.3 (see
also Miamee [1] (1976)). Chobanyan and Weron [1] (1975) studied B(Y, K)-valued
stationary processes, where Y is a Banach space and K is a Hilbert space. Loynes

[3] (1965) considered stationary processes in VH -spaces (cf. also Loynes [1, 2] (1965))
and Saworotnow [4] (1973) studied stationary processes with values in a Hilbert mod-
ule over an H ∗-algebra. In this direction, we also refer to Rosenberg [3] (1978) and
Suciu and Valuseşcu [1] (1979). As to a survey of infinite dimensional stationary
processes one may refer to Salehi [1] (1981) and Makagon and Salehi [2] (1989).
It is interesting that classes of nonstationary stochastic processes considered so
far contain a class of stationary ones. Many authors have considered the extension
of stationarity. Loève [2] (1948) (see also references therein) defined harmonizability
in the middle of 1940s and Rozanov [1] (1959) introduced weaker harmonizability.
Bochner [1] (1956) defined V -boundedness which turned out to be equivalent to weak
harmonizability if we consider weakly continuous processes. Karhunen [1] (1947)
and Cramér [2] (1951) introduced new classes of processes which we termed as the
Karhunen class and the (strong) Cramér class, respectively. Asymptotic stationarity
was defined and studied by Kampe de Fériet and Frenkiel [1] (1959) and [2] (1962)
(see also Kampé de Fériet [1] (1962)), Rozanov [1] (1959) and Parzen [2] (1962). All
these notions were clarified, compared and classified by Rao [4] (1982), where he
notified the importance of bimeasure integration theory developed by Morse and
Transue in [2] (1955) and [4] (1956). An extensive study of bimeasure and nonsta-
tionary (especially harmonizable) processes was given in Chang and Rao [2] (1986)
(see also Rao [7] (1985) and [9, 11] (1989)).
When the parameter space is Rk , Yadrenko [1] (1983) gave an extensive study for
stationary isotropic processes. Yaglom [1, 2] (1961, 1987) also treated such processes.
Harmonizable isotropic processes were introduced and studied by Rao [12] (1991)
and Swift [1, 2] (1994, 1995). If processes on a commutative hypergroup are con-
sidered, Lasser and Leitner [1, 2] (1989, 1990) and Leitner [1, 2] (1991, 1995) studied
hyper stationary and hyper weakly harmonizable processes, where the definition of
hyper weak harmonizability is due to Rao [10] (1989). Study of processes on a non-
abelian locally compact group is initiated by Ylinen [1] (1975), where he introduced
some kinds of stationarity. He also introduced harmonizability for such processes in
[7] (1989). Rao [10] (1989) considered the case where the group is unimodular.
As to infinite dimensional nonstationary processes Truong-van [1] (1981) defined
(weakly) harmonizable (rather than V -bounded) processes and obtained (operator)
stationary dilations under certain conditions. Kakihara defined weak and strong har-
monizabilities and V -boundedness in [7] (1985) and [9] (1986). He also defined the
Karhunen class in [11] (1988). A classification of various harmonizabilities is found
in Kakihara [15] (1992) from which most of the terminologies are taken. Harmo-
nizability and V -boundedness are also introduced to B(H, K)-valued processes and
B(X, K)-valued processes by Makagon and Salehi [1] (1987) and Miamee [2] (1989),
respectively, where H and K are Hilbert spaces and X is a Banach space. Rao
[10] (1989) included a survey of harmonizable processes which are either of univari-
ate, multivariate or infinite variate, and whose index sets are in varieties.
One-dimensional random distribution was studied by Itô [1] (1953) and subse-
quently by Balagangadharan [1] (1960). Infinite dimensional case was developed in

a series of papers by Gaşpar and Sida [1] (2014) and Gaşpar and Popa [1] (2015),
[2, 3] (2016). This direction seems to be very fruitful.

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December 14, 2020 9:50 11592 - Hilbert and Banach Space-Valued Stochastic Processes ws-book-combined page 9

INTRODUCTION AND PRELIMINARIES

In this chapter, a brief survey of second order stationary and non-stationary

1.1. Stationary processes

2 I. INTRODUCTION AND PRELIMINARIES

Thus, let {x(t)} be an L20 (Ω)-valued process. Then it is said to be stationary

if its covariance function γ(s, t) = (x(s), x(t))2 , s, t ∈ R depends only on the

By Bochner’s theorem on the integral representation of such functions, there exists

U (t)x(s) = x(s + t), s ∈ R,

where αk ∈ C and tk ∈ R for 1 ≤ k ≤ n. Then by the stationarity of {x(t)} we

1.1. STATIONARY PROCESSES 3

Hence U (t) is well-defined and can be uniquely extended by linearity to a unitary

U (t) = eitu E(du), t ∈ R.

4 I. INTRODUCTION AND PRELIMINARIES

1.2. Harmonizable processes

In many applications stationarity is too restrictive and somewhat weaker condi-

for some positive definite bimeasure m : B × B → C of bounded variation,

iii) |m|(R , R) < ∞.

1.2. HARMONIZABLE PROCESSES 5

spectral bimeasure of the process {x(t)}.

6 I. INTRODUCTION AND PRELIMINARIES

(η(A), η(B))m holds for A, B ∈ B by the reproducing property (ii). Define an

Hm -valued process {y(t)} by

and an operator V : H(ỹ) → H(x̃) by

Then we see that

for every s, t ∈ R. Thus V can be extended (by linearity) to a unitary operator

1.2. HARMONIZABLE PROCESSES 7

Now we state a characterization of weakly harmonizable processes. Let {y(t)}

where ν ∈ ca(B, R+ ) (R+ = [0, ∞)) and {g(t, ·) : t ∈ R} ⊆ L2 (R , ν). Thus, if

8 I. INTRODUCTION AND PRELIMINARIES

C= ϕ(t)x(t) dt : kϕ̂k∞ ≤ 1, ϕ ∈ L1 (R)

1.3. MULTIDIMENSIONAL AND OTHER EXTENSIONS 9

1.3. Multidimensional and other extensions

Moreover, [L20 (Ω)]q q

as before and the matricial or operator covariance function Γ by

10 I. INTRODUCTION AND PRELIMINARIES

of an operator stationary process {x(t)} is an L20 (Ω)-valued stationary process with

the representing measure ξ k .

1.3. MULTIDIMENSIONAL AND OTHER EXTENSIONS 11

It is easy to see that hφ, xiH ∈ L20 (Ω) since

Now for x ∈ X define an operator Tx : H → L20 (Ω) by

Tx φ = hφ, xiH , φ ∈ H. (3.4)

12 I. INTRODUCTION AND PRELIMINARIES

[x, y]X = [f φ, gψ]X = (f, g)2 φ ⊗ ψ.

Thus we obtained a T (H)-valued gramian [·, ·]X on X. Clearly, it holds that

1.3. MULTIDIMENSIONAL AND OTHER EXTENSIONS 13

for x, y, z ∈ X and a ∈ B(H), the algebra of all bounded linear operators on H.

shall make full use of this space later in stochastic analysis.

X = L20 (Ω ; H)-valued operator stationary processes are defined similarly as in the

for some T (H)-valued positive definite bimeasure M on B×B. If M is of bounded

14 I. INTRODUCTION AND PRELIMINARIES

(gramian) orthogonal projection.

For a further investigation we need to develop integration theory of operator-

which converges in the norm of X. If H is separable, then it has an orthonormal

Thus, instead of thinking about L20 (Ω ; X)-valued processes we can consider

1.3. MULTIDIMENSIONAL AND OTHER EXTENSIONS 15

Γ(s, t) = x(t)∗ x(s), s, t ∈ R,

which is a B(Y, Y∗ )-valued function on R2 , as initiated by Chobanyan [1] (1969),

the induced operator Tx : X∗ → L2 (Ω) given by (3.9) is bounded. Moreover, if x

If {x(t)} is stationary, i.e.,

16 I. INTRODUCTION AND PRELIMINARIES

then the random distribution {x(ϕ)} is stationary in the sense that

space of D) such that

where ϕ ∗ ψ̃ is the convolution of ϕ and ψ̃(t) = ψ(−t), t ∈ R. Actually, (3.11) char-