Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation (Q931640): Difference between revisions

This article is concerned with temporal and spatial regularity studies of solutions for the non-autonomous Zakai equation, a linear time-dependent stochastic evolution equation in a function space. Using the theory of stochastic integration for processes with values in UMD Banach spaces developed by the authors in [Banach spaces and their applications in analysis. Proceedings of the international conference, Miami University, Oxford, OH, USA, May 22--27, 2006. In honor of Nigel Kalton's 60th birthday. Berlin: Walter de Gruyter. 125--146 (2007; Zbl 1139.46009)], Itô's formula is proved for a corresponding class of Itô processes. It is applied to the duality map of the state space, a UMD Banach space in order to reduce a class of linear stochastic evolution equations in UMD Banach spaces to a pathwise deterministic non-autonomous linear Cauchy problem, which in the sequel is studied under different conditions for the coefficients. For techniques see [\textit{G. Da Prato, M. Iannelli} and \textit{L. Tubaro}, Stochastics 6, 105--116 (1982; Zbl 0475.60041)]. These abstract results are applied to prove the existence of strong solutions, several regularity results in space and time and a Wong-Zakai approximation of the solutions of the non-autonomous Zakai equation.