Stochastic integration in UMD Banach spaces

DOI10.1214/009117906000001006MaRDI QIDQ2373571zbMATHOpenAlexFDO

Authors Jan van Neerven, Mark Veraar, Lutz Weis

Publication date 12 July 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0610619

zbMATH Keywords

UMD Banach spacescylindrical Brownian motionmartingale representation theoremdecoupling inequalitiesBurkholder-Davis-Gundy inequalitiesStochastic integration in Banach spacesy-radonifying operators

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Abstract: In this paper we construct a theory of stochastic integration of processes with values in $mathcalL(H,E)$, where $H$ is a separable Hilbert space and $E$ is a UMD Banach space (i.e., a space in which martingale differences are unconditional). The integrator is an $H$-cylindrical Brownian motion. Our approach is based on a two-sided $L^p$-decoupling inequality for UMD spaces due to Garling, which is combined with the theory of stochastic integration of $mathcalL(H,E)$-valued functions introduced recently by two of the authors. We obtain various characterizations of the stochastic integral and prove versions of the It^{o} isometry, the Burkholder--Davis--Gundy inequalities, and the representation theorem for Brownian martingales.

Recommendations

• scientific article; zbMATH DE number 16142
• Stochastic integration in Banach spaces
• scientific article; zbMATH DE number 4184535
• Conditions for stochastic integrability in UMD Banach spaces
• Stochastic Integration in Banach Spaces
• scientific article; zbMATH DE number 890839
• scientific article; zbMATH DE number 3967585
• Stochastic integration in Banach spaces -- a survey
• Stochastic integration in quasi-Banach spaces
• scientific article; zbMATH DE number 1857846

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 4149235 (Why is no real title available?)
• scientific article; zbMATH DE number 3971424 (Why is no real title available?)
• scientific article; zbMATH DE number 3980111 (Why is no real title available?)
• scientific article; zbMATH DE number 3985910 (Why is no real title available?)
• scientific article; zbMATH DE number 4040974 (Why is no real title available?)
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 193549 (Why is no real title available?)
• scientific article; zbMATH DE number 3561894 (Why is no real title available?)
• scientific article; zbMATH DE number 1463310 (Why is no real title available?)
• scientific article; zbMATH DE number 2147500 (Why is no real title available?)
• scientific article; zbMATH DE number 195004 (Why is no real title available?)
• scientific article; zbMATH DE number 3996768 (Why is no real title available?)
• scientific article; zbMATH DE number 2114275 (Why is no real title available?)
• scientific article; zbMATH DE number 803215 (Why is no real title available?)
• scientific article; zbMATH DE number 4184535 (Why is no real title available?)
• Concrete representation of martingales
• Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
• Martingales and singular integrals in Banach spaces
• Martingales with values in uniformly convex spaces
• On stochastic convolution in banach spaces and applications
• On the martingale problem for Banach space valued stochastic differential equations
• On the space of vector-valued functions integrable with respect to the white noise
• Some remarks on Banach spaces in which martingale difference sequences are unconditional
• Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
• Stochastic convolution in separable Banach spaces and the stochastic linear Cauchy problem
• Stochastic evolution equations in UMD Banach spaces
• Stochastic integration of functions with values in a Banach space
• Stochastic integration relative to Brownian motion on a general Banach space
• Stochastic partial differential equations in \(M\)-type 2 Banach spaces
• The \(H^\infty\)-calculus and sums of closed operators
• Weak limits and integrals of Gaussian covariances in Banach spaces

Cited in

(only showing first 100 items - show all)

• Approximating the coefficients in semilinear stochastic partial differential equations
• Stochastic PDEs via convex minimization
• Conical square functions associated with Bessel, Laguerre and Schrödinger operators in UMD Banach spaces
• Well-posedness of the multidimensional fractional stochastic Navier-Stokes equations on the torus and on bounded domains
• Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
• Forward integration, convergence and non-adapted pointwise multipliers
• Stochastic Reaction-Diffusion Systems With Hölder Continuous Multiplicative Noise
• On stochastic conservation laws and Malliavin calculus
• Maximal inequalities of the Itô integral with respect to Poisson random measures or Lévy processes on Banach spaces
• Estimates for vector-valued holomorphic functions and Littlewood-Paley-Stein theory
• Quasilinear parabolic stochastic evolution equations via maximal \(L^p\)-regularity
• A mild Itô formula for SPDEs
• \(\gamma \)-bounded representations of amenable groups
• Noncommutative stochastic integration through decoupling
• Non-autonomous stochastic evolution equations and applications to stochastic partial differential equations
• Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
• Stochastic maximal \(L^{p}\)-regularity
• Conical stochastic maximal \(L^p\)-regularity for \(1\leqslant p<\infty\)
• On the stochastic Fubini theorem in infinite dimensions
• Set-valued and fuzzy stochastic differential equations in M-type 2 Banach spaces
• Continuous dependence on the coefficients and global existence for stochastic reaction diffusion equations
• Cylindrical fractional Brownian motion in Banach spaces
• Fractional stochastic active scalar equations generalizing the multi-dimensional quasi-geostrophic \& 2D-Navier-Stokes equations: the general case
• Infinite dimensional weak Dirichlet processes and convolution type processes
• On the equivalence of solutions for a class of stochastic evolution equations in a Banach space
• Malliavin calculus and decoupling inequalities in Banach spaces
• UMD Banach spaces and square functions associated with heat semigroups for Schrödinger, Hermite and Laguerre operators
• scientific article; zbMATH DE number 4184535 (Why is no real title available?)
• Stochastic evolution equations driven by a Liouville fractional Brownian motion
• Volterra equations in Banach spaces with completely monotone kernels
• Stochastic maximal regularity for rough time-dependent problems
• Noiseless regularisation by noise
• Strict solutions to stochastic parabolic evolution equations in M-type 2 Banach spaces
• scientific article; zbMATH DE number 16142 (Why is no real title available?)
• Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces
• Operator-valued Fourier Haar multipliers
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• On the stochastic Strichartz estimates and the stochastic nonlinear Schrödinger equation on a compact Riemannian manifold
• Stochastic Equations with Boundary Noise
• Quantitative affine approximation for UMD targets
• Conditions for stochastic integrability in UMD Banach spaces
• The nonlinear stochastic Schrödinger equation via stochastic Strichartz estimates
• Vector-valued stochastic delay equations -- a weak solution and its Markovian representation
• Vector-valued decoupling and the Burkholder-Davis-Gundy inequality
• Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
• Representation of Itô integrals by Lebesgue/Bochner integrals
• Stochastic integration in Banach spaces -- a survey
• The covariation for Banach space valued processes and applications
• Non-autonomous stochastic evolution equations in Banach spaces of martingale type 2: strict solutions and maximal regularity
• Stochastic maximum principle for optimal control of SPDEs
• Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions
• The Itō integral with respect to an infinite dimensional Lévy process: a series approach
• On the \(R\)-boundedness of stochastic convolution operators
• Maximal \(\gamma\)-regularity
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• Incompressible limit for compressible fluids with stochastic forcing
• Littlewood-Paley-Stein theory for semigroups in UMD spaces
• Tools for Malliavin calculus in UMD Banach spaces
• Boundedness of Riesz transforms for elliptic operators on abstract Wiener spaces
• Stochastic integration in Banach spaces
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Vector valued multivariate spectral multipliers, Littlewood-Paley functions, and Sobolev spaces in the Hermite setting
• Vector-valued stochastic delay equations -- a semigroup approach
• A note on maximal estimates for stochastic convolutions
• Stochastic evolution equations in UMD Banach spaces
• Stability properties of stochastic maximal \(L^p\)-regularity
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• Infinitely delayed stochastic evolution equations on UMD Banach spaces
• Conical square function estimates in UMD Banach spaces and applications to \(H^{\infty}\)-functional calculi
• Stochastic integration for Lévy processes with values in Banach spaces
• HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
• Difference methods for time discretization of spectral fractional stochastic wave equation
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• A perturbation result for semi-linear stochastic differential equations in UMD Banach spaces
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Stochastic vorticity equation in \(\mathbb{R}^2\) with not regular noise
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• On decoupling in Banach spaces
• Weak error analysis for the stochastic Allen-Cahn equation
• Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component
• Stochastic analysis with modelled distributions
• Linear parabolic equation with Dirichlet white noise boundary conditions
• Optimal regularity of stochastic evolution equations in M-type 2 Banach spaces
• A new approach to stochastic evolution equations with adapted drift
• Stochastic integrals and BDG's inequalities in Orlicz-type spaces
• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
• Why stochastics? And why in Banach spaces? -- epidemic example
• High-accuracy time discretization of stochastic fractional diffusion equation
• Stochastic integration in quasi-Banach spaces
• Nonlinear parabolic stochastic evolution equations in critical spaces Part I. Stochastic maximal regularity and local existence*
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions
• On strongly orthogonal martingales in UMD Banach spaces
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
• Almost periodic solutions to stochastic evolution equations on Banach spaces
• Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
• Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs
• On the trace embedding and its applications to evolution equations
• Local characteristics and tangency of vector-valued martingales
• On Temporal Regularity of Strong Solutions to Stochastic \(p\)-Laplace Systems

This page was built for publication: Stochastic integration in UMD Banach spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2373571)