Anticipating Hilbert integrals with respect to a cylindrical Wiener process and associated stochastic calculus

DOI10.1007/BF01184155zbMath0754.60051MaRDI QIDQ1186090

A. Grorud, Etienne Pardoux

Publication date: 28 June 1992

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

Skorokhod integralStratonovich integralcylindrical Brownian motionanticipating stochastic calculusItô formulasHilbert- valued processes

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items (23)

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control ⋮ Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces. ⋮ Integration theory for infinite dimensional volatility modulated Volterra processes ⋮ The Skorohod integral in conuclear spaces ⋮ Stochastic variation of constants formula for infinite dimensional equations ⋮ Adapted solution of a backward semilinear stochastic evolution equation ⋮ On a modelled rough heat equation ⋮ The anticipative Stratonovich integral in conuclear spaces ⋮ A stochastic optimal control problem for the heat equation on the halfline with Dirichlet boundary-noise and boundary-control ⋮ Feedback optimal control for stochastic Volterra equations with completely monotone kernels ⋮ Elementary processes for Itô integral against cylindrical Wiener process ⋮ \(N\)-person differential games governed by semilinear stochastic evolution systems ⋮ The Skorohod integral and the derivative operator of functionals of a cylindrical Brownian motion ⋮ Duality in refined Sobolev-Malliavin spaces and weak approximation of SPDE ⋮ Tools for Malliavin calculus in UMD Banach spaces ⋮ Stochastic integrals for SPDEs: a comparison ⋮ The existence and uniqueness of the solution for nonlinear Kolmogorov equations ⋮ Weak convergence for a spatial approximation of the nonlinear stochastic heat equation ⋮ Approximation of Hilbert-valued gaussians on Dirichlet structures ⋮ INTEGRATION BY PARTS AND SMOOTHNESS OF THE LAW FOR A CLASS OF STOCHASTIC EVOLUTION EQUATIONS ⋮ Nonlinear stochastic differential equations in infinite dimensions ⋮ Optimal control of a stochastic heat equation with boundary-noise and boundary-control ⋮ Stochastic evolution equations with random generators

Cites Work

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• Sobolev spaces of Wiener functionals and Malliavin's calculus
• Stochastic calculus with anticipating integrands
• A generalized Itô-Ventzell formula. Application to a class of anticipating stochastic differential equations
• A geometrical characterization of Banach spaces in which martingale difference sequences are unconditional
• Stochastic equations of hyperbolic type and a two-parameter Stratonovich calculus
• Séminaire sur les fonctions aléatoires linéaires et les mesures cylindriques
• Measurable Functions on Hilbert Space

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