On a stochastic differentiation formula for Hilbert-Schmidt valued stochastic integrals (Q689492)

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On a stochastic differentiation formula for Hilbert-Schmidt valued stochastic integrals
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    On a stochastic differentiation formula for Hilbert-Schmidt valued stochastic integrals (English)
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    2 January 1994
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    Let \((\Omega,F,P)\) be a complete probability space, \(H\) and \(G\) be real separable Hilbert spaces, \({\mathcal L}_ 2(H,G)\) be the space of the Hilbert-Schmidt operators from \(H\) into \(G\), \(\{W(t)\}_{t\in R^ +}\) be a \(G\)-valued Brownian motion process on \((\Omega,F,P)\) with covariance operator \({\mathcal D}\), \(\xi=(\xi(t))_{t\in R^ +}\) be an \(H\)-valued process, \(\Delta^ 2(H)\) be the Hilbert space of all equivalence classes of \(H\)-valued processes verifying the following assumptions: (i) \(\xi\) is adapted and measurable; (ii) \(\int^ T_ 0E\|\xi(t)\|^ 2dt<\infty\) for each \(0<T<\infty\). This paper is dedicated to define a Hilbert-Schmidt valued stochastic integral \(\int^ T_ 0\xi(s)dW(s)\) for \(\xi\in\Delta^ 2(H)\) and associated Itô's formula for functions of stochastic processes \(X(t)\) of following type \[ X(t)=X(0)+\int^ t_ 0\xi(s)dW(s)+\int^ t_ 0Y(s)ds, \] where \(\xi\in\Delta^ 2(H)\), \(\{Y(t)\}_{t\in R^ +}\) is a non-anticipating \({\mathcal L}_ 2(H,G)\) valued Bochner integrable process. This version of Itô's formula will be useful in studying stochastic differential equations in Hilbert-Schmidt operator spaces, which are interesting in modelling some physical phenomena.
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    Hilbert-Schmidt operators
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    Brownian motion
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    stochastic integral
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    Itô's formula
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