scientific article; zbMATH DE number 1484655

MaRDI QIDQ4493411zbMATH OpenFDO

Authors Badri Mamporia

Publication date 11 September 2001

Full work available at URL https://eudml.org/doc/48887

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zbMATH Keywords

Gauss measure and covariances in Banach space Itô formula Wiener process and stochastic integral in Banach space

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11)

Review text

Let \(X\) be a separable Banach space with dual \(X^*\), and \((\Omega,{\mathcal F},P)\) be a probability space. Let \((W_t)_{t\in [0,1]}\) be a Wiener process in \(X\) with Gaussian covariance operator \(R: X^*\to X\). Let \(Y\) be another Banach space. The definition of nonanticipating function \(\varphi: [0,1]\times \Omega\to L(X, Y)\) is given in order to define a generalized stochastic integral \(\xi= \int^1_0 \varphi dW_t\) of a random function \(\varphi\) with respect to the Wiener process. The following Itô formula is proved: Let \(\psi: [0,1]\times X\to Y\) be a continuous function with continuous Fréchet derivatives \(\psi_t': [0,1]\times X\to Y\), \(\psi_x': [0,1]\times X\to L(X, Y)\) and \(\psi_{xx}: [0,1]\times X\to L(X, L(X, Y))\). Then \[ \psi(t, W_t)= \psi(0,0)+ \int^t_0 \psi_t'(s, W_s) ds+ \int^t_0 \psi_x'(s, W_s) dW_s+ {1\over 2} \int^t_0 \Biggl(\sum^\infty_{i=1} \psi_{xx}(s, W_s) a_ia_i\Biggr) ds, \] where \(Rx^*= \sum^\infty_{k=1} \langle a_k,x^*\rangle a_k\) is the covariance operator of \(W_1\).

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