Infinite-dimensional calculus under weak spatial regularity of the processes

DOI10.1007/S10959-016-0724-2zbMATH Open1429.60053arXiv1511.05744OpenAlexW2271255737WikidataQ59471496 ScholiaQ59471496MaRDI QIDQ1661583FDOQ1661583

Franco Flandoli, Giovanni Zanco, Francesco Russo

Publication date: 16 August 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Two generalizations of It^o formula to infinite-dimensional spaces are given. The first one, in Hilbert spaces, extends the classical one by taking advantage of cancellations, when they occur in examples and it is applied to the case of a group generator. The second one, based on the previous one and a limit procedure, is an It^o formula in a special class of Banach spaces, having a product structure with the noise in a Hilbertian component, again the key point is the extension due to a cancellation. This extension to Banach spaces and in particular the specific cancellation are motivated by path-dependent It^o calculus.

Full work available at URL: https://arxiv.org/abs/1511.05744

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=infinite-dimensional+It%EF%BF%BD%EF%BF%BD%27s+formula&go=Go infinite-dimensional It��'s formula]path-dependent functionalspath-dependent Kolmogorov equationsstochastic calculus in Hilbert (Banach) spaces

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Stochastic Equations in Infinite Dimensions
• Functional Itō calculus and stochastic integral representation of martingales
• Representation and control of infinite dimensional systems. Volume I
• Change of variable formulas for non-anticipative functionals on path space
• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Infinite dimensional weak Dirichlet processes and convolution type processes
• A basic identity for Kolmogorov operators in the space of continuous functions related to RDEs with multiplicative noise
• Stochastic Integration in Banach Spaces – a Survey
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• Regularizing properties for transition semigroups and semilinear parabolic equations in Banach spaces

Cited In (8)

• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• Semilinear Kolmogorov equations on the space of continuous functions via BSDEs
• Partial smoothing of the stochastic wave equation and regularization by noise phenomena
• Partial smoothing of delay transition semigroups acting on special functions
• Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Smoothness of Itô maps and diffusion processes on path spaces (I)

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