Pathwise Taylor expansions for Itô random fields

DOI10.3934/MCRF.2011.1.437zbMATH Open1255.60087arXiv1008.3221OpenAlexW2963002655MaRDI QIDQ427951FDOQ427951

Authors: Rainer Buckdahn, Ingo Bulla, Jin Ma 

Publication date: 18 June 2012

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: In this paper we study the {it pathwise stochastic Taylor expansion}, in the sense of our previous work cite{Buckdahn_Ma_02}, for a class of It^o-type random fields in which the diffusion part is allowed to contain both the random field itself and its spatial derivatives. Random fields of such an "self-exciting" type particularly contains the fully nonlinear stochastic PDEs of curvature driven diffusion, as well as certain stochastic Hamilton-Jacobi-Bellman equations. We introduce the new notion of "$n$-fold" derivatives of a random field, as a fundamental device to cope with the special self-exciting nature. Unlike our previous work cite{Buckdahn_Ma_02}, our new expansion can be defined around any random time-space point $(,xi)$, where the temporal component ${\displaystyle }$ does not even have to be a stopping time. Moreover, the exceptional null set is independent of the choice of the random point $(,xi)$. As an application, we show how this new form of pathwise Taylor expansion could lead to a different treatment of the stochastic characteristics for a class of fully nonlinear SPDEs whose diffusion term involves both the solution and its gradient, and hence lead to a definition of the {it stochastic viscosity solution} for such SPDEs, which is new in the literature.

Full work available at URL: https://arxiv.org/abs/1008.3221

Recommendations

• Pathwise Taylor expansions for random fields on multiple dimensional paths
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
• Taylor expansions of solutions of stochastic partial differential equations
• Taylor expansions of solutions of stochastic partial differential equations with additive noise
• New Itô--Taylor expansions

zbMATH Keywords

stochastic characteristicspathwise stochastic Taylor expansionstochastic viscosity solutionsWick-square

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (6)

• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• Taylor expansions of solutions of stochastic partial differential equations
• Pathwise Taylor expansions for random fields on multiple dimensional paths
• A stochastic Taylor-like expansion in the rough path theory
• A mild Itô formula for SPDEs
• Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions

This page was built for publication: Pathwise Taylor expansions for Itô random fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q427951)