Independent increment processes: A multilinearity preserving property

TL;DR

This paper extends the multilinearity preserving property of conditional expectation from finite to infinite dimensional independent increment processes on Banach spaces, including non-commutative cases, revealing new structural insights.

Contribution

It introduces an infinite dimensional generalization of polynomial preserving properties for independent increment processes on Banach spaces, without requiring a Banach algebra structure.

Findings

Multilinearity preserving property holds in infinite dimensions.

Independent increment processes are polynomial processes in commutative Banach algebras.

Results extend beyond independent increment processes to broader polynomial processes.

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 generalisation. 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 necessary 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.