Fractional Wiener Chaos (2309.00484v2)

Abstract: The area of fractional calculus has made its way into various pure and applied scientific fields, as evidenced by its integration into numerous disciplines. An increasing number of researchers are exploring various approaches to incorporating fractional calculus into stochastic analysis. In this paper, we generalise the Wiener chaos expansion by constructing a fractional Wiener chaos expansion based on the parabolic cylinder function with an exponential factor. In the process, we demonstrate that this parabolic cylinder function with an exponential factor, which we call "a power normalised parabolic cylinder function" acts as an extension of a Hermite polynomial and retains the same martingale properties inherent in the Hermite polynomial, as well as other basic properties of Hermite polynomials. Hence, it is accurate to state that power normalised cylindrical functions can be viewed as fractional versions of Hermite polynomials.