Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes

DOI10.1142/S0219025712500075MaRDI QIDQ2909256zbMATH OpenFDO

Authors Cristina Di Girolami, Francesco Russo

Publication date 30 August 2012

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.4419

zbMATH Keywords

Malliavin calculusDirichlet processestensor analysisgeneralized Fukushima decompositioninfinite-dimensional analysiscalculus via regularizationcovariation and quadratic variationrepresentation of path-dependent random variables

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Abstract: This paper concerns a class of Banach valued processes which have finite quadratic variation. The notion introduced here generalizes the classical one, of M'etivier and Pellaumail which is quite restrictive. We make use of the notion of $chi$-covariation which is a generalized notion of covariation for processes with values in two Banach spaces $B_1$ and $B_2$. $chi$ refers to a suitable subspace of the dual of the projective tensor product of $B_1$ and $B_2$. We investigate some $C^1$ type transformations for various classes of stochastic processes admitting a $chi$-quadratic variation and related properties. If $X^1$ and $X^2$ admit a $chi$-covariation, $F^i:B_{i}ightarrowR$, $i=1,2$ are of class $C^1$ with some supplementary assumptions then the covariation of the real processes $F^1(X^1)$ and $F^2(X^2)$ exist. A detailed analysis will be devoted to the so-called window processes. Let $X$ be a real continuous process; the $C([-au,0])$-valued process $X(cdot)$ defined by $X_t(y)=X_{t+y}$, where $yin[-au,0]$, is called {it window} process. Special attention is given to transformations of window processes associated with Dirichlet and weak Dirichlet processes. In fact we aim to generalize the following properties valid for $B=R$. If $X=X$ is a real valued Dirichlet process and $F:BightarrowR$ of class $C^1(B)$ then $F(X)$ is still a Dirichlet process. If $X=X$ is a weak Dirichlet process with finite quadratic variation, and $F:C^{0,1}([0,T]imesB)$ is of class $C^{0,1}$, then $[F(t,X_t)]$ is a weak Dirichlet process. We specify corresponding results when $B=C([-au,0])$ and $X=X(cdot)$. This will consitute a significant Fukushima decomposition for functionals of windows of (weak) Dirichlet processes. As applications, we give a new technique for representing path-dependent random variables.

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Cites work

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Cited in

(14)

• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Path-dependent equations and viscosity solutions in infinite dimension
• Infinite-dimensional calculus under weak spatial regularity of the processes
• Generalized covariation for Banach space valued processes, Itō formula and applications
• Stochastic evolution of distributions and functional Bollinger bands
• Stochastic systems with memory and jumps
• Cylindrical fractional Brownian motion in Banach spaces
• Infinite dimensional weak Dirichlet processes and convolution type processes
• Notion of quadratic variation in Banach spaces
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
• An infinite-dimensional approach to path-dependent Kolmogorov equations
• The covariation for Banach space valued processes and applications
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
• HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition

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