Stochastic integration in UMD Banach spaces

DOI10.1214/009117906000001006MaRDI QIDQ2373571zbMATH OpenOpenAlexFDO

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)

• Forward integration, convergence and non-adapted pointwise multipliers
• Stochastic integration with respect to cylindrical Lévy processes by p-summing operators
• Quantitative approximation of the Burgers and Keller-Segel equations by moderately interacting particles
• Sharp convergence rates of time discretization for stochastic time-fractional PDEs subject to additive space-time white noise
• Boundedness of Riesz transforms for elliptic operators on abstract Wiener spaces
• On the trace embedding and its applications to evolution equations
• Stochastic integrals and BDG's inequalities in Orlicz-type spaces
• Optimal regularity of stochastic evolution equations in M-type 2 Banach spaces
• A new approach to stochastic evolution equations with adapted drift
• A version of the Hörmander-Malliavin theorem in 2-smooth Banach spaces
• Stochastic integration with respect to fractional processes in Banach spaces
• Conical square functions associated with Bessel, Laguerre and Schrödinger operators in UMD Banach spaces
• Stochastic Equations with Boundary Noise
• Stochastic and deterministic parabolic equations with bounded measurable coefficients in space and time: well-posedness and maximal regularity
• A mild Itô formula for SPDEs
• Maximal inequalities of the Itô integral with respect to Poisson random measures or Lévy processes on Banach spaces
• Continuous local martingales and stochastic integration in UMD Banach spaces
• Multidimensional stability of planar traveling waves for stochastically perturbed reaction-diffusion systems
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Stochastic integration with respect to cylindrical Lévy processes in Hilbert spaces
• On strongly orthogonal martingales in UMD Banach spaces
• Strict solutions to stochastic parabolic evolution equations in M-type 2 Banach spaces
• Quasilinear parabolic stochastic evolution equations via maximal \(L^p\)-regularity
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• Nonlinear SPDEs and maximal regularity: an extended survey
• Vector-valued stochastic delay equations -- a weak solution and its Markovian representation
• Stochastic integration with respect to canonical -stable cylindrical Lévy processes
• Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients
• Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
• The covariation for Banach space valued processes and applications
• Global well-posedness for the defocussing mass-critical stochastic nonlinear Schrödinger equation on \(\mathbb{R}\) at \(L^2\) regularity
• Stochastic Reaction-Diffusion Systems With Hölder Continuous Multiplicative Noise
• Recent progress on limit theorems for large stochastic particle systems
• Difference methods for time discretization of spectral fractional stochastic wave equation
• Noiseless regularisation by noise
• Non-autonomous stochastic evolution equations in Banach spaces of martingale type 2: strict solutions and maximal regularity
• On the stochastic Fubini theorem in infinite dimensions
• Vector-valued decoupling and the Burkholder-Davis-Gundy inequality
• Orders of convergence in the averaging principle for SPDEs: the case of a stochastically forced slow component
• Almost periodic solutions to stochastic evolution equations on Banach spaces
• Maximal inequalities for stochastic convolutions in 2-smooth Banach spaces and applications to stochastic evolution equations
• Convergence rates of stationary and non-stationary asymptotical regularization methods for statistical inverse problems in Banach spaces
• UMD Banach spaces and square functions associated with heat semigroups for Schrödinger, Hermite and Laguerre operators
• Approximating the coefficients in semilinear stochastic partial differential equations
• Nonlinear parabolic stochastic evolution equations in critical spaces Part I. Stochastic maximal regularity and local existence*
• Infinitely delayed stochastic evolution equations on UMD Banach spaces
• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
• Cylindrical fractional Brownian motion in Banach spaces
• Stochastic vorticity equation in \(\mathbb{R}^2\) with not regular noise
• Stochastic integration in Banach spaces -- a survey
• Well-posedness of the multidimensional fractional stochastic Navier-Stokes equations on the torus and on bounded domains
• A Wong-Zakai theorem for the stochastic mass-critical nonlinear Schrödinger equation
• Stochastic maximum principle for optimal control of SPDEs
• Delayed blow-up and enhanced diffusion by transport noise for systems of reaction-diffusion equations
• An approach to stochastic integration in general separable Banach spaces
• Continuous dependence on the coefficients and global existence for stochastic reaction diffusion equations
• Stochastic integration in quasi-Banach spaces
• Representation of Itô integrals by Lebesgue/Bochner integrals
• Estimates for vector-valued holomorphic functions and Littlewood-Paley-Stein theory
• Vector valued multivariate spectral multipliers, Littlewood-Paley functions, and Sobolev spaces in the Hermite setting
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• Conditions for stochastic integrability in UMD Banach spaces
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• Stochastic differential equations in a Banach space driven by the cylindrical Wiener process
• Non-autonomous stochastic evolution equations and applications to stochastic partial differential equations
• On the \(R\)-boundedness of stochastic convolution operators
• Stochastic maximal \(L^{p}\)-regularity
• Brownian representations of cylindrical continuous local martingales
• Noncommutative stochastic integration through decoupling
• Operator-valued Fourier Haar multipliers
• Stability of stochastic maximal L^p-regularity under admissible observation operators
• On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
• Stochastic integration in Banach spaces
• A perturbation result for semi-linear stochastic differential equations in UMD Banach spaces
• Uniform approximation of 2 dimensional Navier-Stokes equation by stochastic interacting particle systems
• Littlewood-Paley-Stein theory for semigroups in UMD spaces
• Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces
• Stochastic evolution equations in UMD Banach spaces
• Conical square function estimates in UMD Banach spaces and applications to \(H^{\infty}\)-functional calculi
• Linear parabolic equation with Dirichlet white noise boundary conditions
• Martingale decompositions and weak differential subordination in UMD Banach spaces
• scientific article; zbMATH DE number 4184535 (Why is no real title available?)
• On the stochastic Strichartz estimates and the stochastic nonlinear Schrödinger equation on a compact Riemannian manifold
• Stochastic integration for Lévy processes with values in Banach spaces
• Regularity analysis for stochastic partial differential equations with nonlinear multiplicative trace class noise
• Quantitative particle approximation of nonlinear Fokker-Planck equations with singular kernel
• Weak convergence and invariant measure of a full discretization for parabolic SPDEs with non-globally Lipschitz coefficients
• Singular stochastic integral operators
• Malliavin calculus and decoupling inequalities in Banach spaces
• Stochastic evolution equations driven by a Liouville fractional Brownian motion
• Central limit theorems for global and local empirical measures of diffusions on Erdős-Rényi graphs
• Pathwise Hölder convergence of the implicit-linear Euler scheme for semi-linear SPDEs with multiplicative noise
• Quantitative affine approximation for UMD targets
• Nonlinear parabolic stochastic evolution equations in critical spaces. II: Blow-up criteria and instantaneous regularization
• Why stochastics? And why in Banach spaces? -- epidemic example
• Randomized UMD Banach spaces and decoupling inequalities for stochastic integrals
• \(\gamma \)-bounded representations of amenable groups
• On the equivalence of solutions for a class of stochastic evolution equations in a Banach space
• The nonlinear stochastic Schrödinger equation via stochastic Strichartz estimates
• Stability properties of stochastic maximal \(L^p\)-regularity

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)