Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations

DOI10.1142/S0219025716500247MaRDI QIDQ2956587zbMATH OpenFDO

Authors Andrea Cosso, Francesco Russo

Publication date 18 January 2017

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

Full work available at URL https://arxiv.org/abs/1505.02926

zbMATH Keywords

regularizationstrict solutionsBanach space valued stochastic calculuspath-dependent partial differential equationItô stochastic differential equationfunctional Itô calculus

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Second-order parabolic equations (35K10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Classical solutions to PDEs (35A09)

Abstract: Functional It^o calculus was introduced in order to expand a functional $F(t,X_{cdot+t},X_t)$ depending on time $t$, past and present values of the process $X$. Another possibility to expand $F(t,X_{cdot+t},X_t)$ consists in considering the path $X_{cdot+t}=X_{x+t},,xin[-T,0]$ as an element of the Banach space of continuous functions on $C([-T,0])$ and to use Banach space stochastic calculus. The aim of this paper is threefold. 1) To reformulate functional It^o calculus, separating time and past, making use of the regularization procedures which matches more naturally the notion of horizontal derivative which is one of the tools of that calculus. 2) To exploit this reformulation in order to discuss the (not obvious) relation between the functional and the Banach space approaches. 3) To study existence and uniqueness of smooth solutions to path-dependent partial differential equations which naturally arise in the study of functional It^o calculus. More precisely, we study a path-dependent equation of Kolmogorov type which is related to the window process of the solution to an It^o stochastic differential equation with path-dependent coefficients. We also study a semilinear version of that equation.

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Cited in

(23)

• About classical solutions of the path-dependent heat equation
• Pathwise Itô calculus for rough paths and rough PDEs with path dependent coefficients
• A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
• Functional and Banach space stochastic calculi: path-dependent Kolmogorov equations associated with the frame of a Brownian motion
• A weak version of path-dependent functional Itô calculus
• Infinite-dimensional calculus under weak spatial regularity of the processes
• Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
• Path-dependent martingale problems and additive functionals
• A functional Itō-formula for Dawson-Watanabe superprocesses
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition
• Boundary Value Problems for Functionals of Itô Processes
• Decoupled mild solutions of path-dependent PDEs and integro PDEs represented by BSDEs driven by cadlag martingales
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Path-dependent equations and viscosity solutions in infinite dimension
• Path dependent equations driven by Hölder processes
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• Weak differentiability of Wiener functionals and occupation times
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Nonlinear and additive white noise perturbations of linear delay differential equations at the verge of instability: an averaging approach
• Stochastic systems with memory and jumps
• Strong-viscosity solutions: classical and path-dependent PDEs

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