Tempered Generalized Functions and Hermite Expansions

Abstract

In this work we introduce a new algebra of tempered generalized functions. The tempered distributions are embedded in this algebra via their Hermite expansions. The Fourier transform is naturally extended to this algebra in such a way that the usual relations involving multiplication, convolution and differentiation are valid. We study the elementary properties of the association, embedding, point values and Fourier transform. Furthermore, we give a generalized Ito formula in this context and some applications to stochastic analysis.