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by a finite-dimensional path-dependent stochastic differential equation NEWLINE\\[NEWLINEdX=b_t(X_t)\\,dt+\\sigma\\,dW,\\qquad X_{t_0}=\\gamma_{t_0}NEWLINE\\]NEWLINE driven by an \\(\\mathbb R^d\\)-valued Wiener process where \\(\\sigma\\) is a diagonalizable \\((d\\times d)\\)-matrix and the \\(b_t\\) map functions to vectors in \\(\\mathbb R^d\\), the authors consider an infinite-dimensional stochastic differential equation NEWLINE\\[NEWLINEdY=[AY+B(t,Y(t))]\\,dt+\\Sigma\\,d\\beta,\\qquad Y(s)=yNEWLINE\\]NEWLINE in various Banach spaces, typically in a product of \\(\\mathbb R^d\\) and a function space such as continuous, c\u00e0dl\u00e0g or \\(L^p\\)-integrable functions. Here, \\(A\\) is an (unbounded) linear operator (typically, the derivative), \\(B\\) corresponds to the maps \\(b_t\\), \\(\\Sigma\\) is a diffusion operator corresponding to \\(\\sigma\\) and \\(\\beta\\) is a finite-dimensional Brownian motion corresponding to \\(W\\).NEWLINENEWLINEThe authors first prove the existence and uniqueness of mild solutions \\(Y^{s,y}\\) to the infinite-dimensional stochastic differential equation. The solutions \\(Y^{s,y}\\) are shown to be \\(C^{2,\\alpha}\\)-continuous in \\(y\\) and continuous in \\(s\\), they satisfy the Markov property and \\(u(t,y)=\\mathbb E\\,[\\Phi(U^{t,y}(T))]\\) satisfies the associated backward Kolmogorov equation in the respective Banach space, with the terminal condition \\(\\Phi\\in C^{2,\\alpha}_b\\) at time \\(T\\).NEWLINENEWLINEFinally, the results are compared with the path-dependent calculus of Dupire, Cont and Fourni\u00e9.","type":"string"},"datatype":"string"},"type":"statement","id":"Q317478$FFD18161-30BE-401A-9F83-B8ECAD12EA68","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:317478","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:317478"}}}}}