Stochastic differential equations in Banach spaces with a basis (Q1360762)
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English | Stochastic differential equations in Banach spaces with a basis |
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Stochastic differential equations in Banach spaces with a basis (English)
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18 December 1997
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I study stochastic differential equations in Banach spaces with a basis with random functions on the right-hand side. I prove that such equations can be reduced to equations in Hilbert space. Therefore, the whole theory of stochastic differential equations in Hilbert spaces, developed by the author [Russ. Acad. Sci., Dokl., Math. 49, No. 3, 592-597 (1994); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 336, No. 6, 741-744 (1994; Zbl 0836.60065)], can be extended to these equations. I prove a theorem stating that a stochastic differential equation with an unbounded linear operator on the right-hand side is equivalent to a certain integral equation; this theorem was used in the quoted paper without proof. I point out a way to obtain equations determining finite-dimensional distributions of the solution to the stochastic differential equation in a Banach space from the equations deduced in the quoted paper.
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stochastic differential equations in Banach spaces
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stochastic differential equations in Hilbert spaces
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unbounded linear operator
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