Itô formula for processes taking values in intersection of finitely many Banach spaces

DOI10.1007/S40072-017-0093-6zbMATH Open1379.60067arXiv1609.01320OpenAlexW3098896089WikidataQ59613693 ScholiaQ59613693MaRDI QIDQ1685683FDOQ1685683

Authors: István Gyöngy, David Šiška 

Publication date: 19 December 2017

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: Motivated by applications to SPDEs we extend the It^o formula for the square of the norm of a semimartingale $y(t)$ from Gy"ongy and Krylov (Stochastics 6(3):153-173, 1982) to the case �egin{equation*} sum_{i=1}^m int_{(0,t]} v_i^{ast}(s),dA(s) + h(t)=:y(t)in V quad ext{$dAimesmathbbP$-a.e.}, end{equation*} where $A$ is an increasing right-continuous adapted process, $v_i^{ast}$ is a progressively measurable process with values in $V_i^{ast}$, the dual of a Banach space $V_i$, $h$ is a cadlag martingale with values in a Hilbert space $H$, identified with its dual $H^{ast}$, and $V:=V_{1}cap{V}_{2}capldotscap{V}_m$ is continuously and densely embedded in $H$. The formula is proved under the condition that $|y{|}_{V_i}^{p_i}$ and $|v_i^{a}st{|}_{V_i^{a}st}^{q_i}$ are almost surely locally integrable with respect to $dA$ for some conjugate exponents $p_i,q_i$. This condition is essentially weaker than the one which would arise in application of the results in Gy"ongy and Krylov (Stochastics 6(3):153-173, 1982) to the semimartingale above.

Full work available at URL: https://arxiv.org/abs/1609.01320

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zbMATH Keywords

stochastic partial differential equationsenergy equalitystochastic evolution equationsItô formula

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic behavior of solutions to PDEs (35B40) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (10)

• On the mild Itô formula in Banach spaces
• A relatively short proof of Itô's formula for SPDEs and its applications
• \(L^p\)-estimates and regularity for SPDEs with monotone semilinearity
• Well-posedness and asymptotic behavior of stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Itô's formula in a Banach space
• On Itô formulas for jump processes
• Title not available (Why is that?)
• On well-posedness of stochastic anisotropic \(p\)-Laplace equation driven by Lévy noise

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