Generalized covariation for Banach space valued processes, Itō formula and applications

zbMATH Open1308.60039arXiv1012.2484MaRDI QIDQ470098FDOQ470098

Authors: Cristina Di Girolami, Francesco Russo 

Publication date: 11 November 2014

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Abstract: This paper discusses a new notion of quadratic variation and covariation for Banach space valued processes (not necessarily semimartingales) and related It^o formula. If $X$ and $Y$ take respectively values in Banach spaces $B_1$ and $B_2$ and $chi$ is a suitable subspace of the dual of the projective tensor product of $B_1$ and $B_2$ (denoted by $(B_{1}hat{otimes}_{pi}{B}_2{)}^{ast}$), we define the so-called $chi$-covariation of $X$ and $Y$. If $X=Y$, the $chi$-covariation is called $chi$-quadratic variation. The notion of $chi$-quadratic variation is a natural generalization of the one introduced by M'etivier-Pellaumail and Dinculeanu which is too restrictive for many applications. In particular, if $chi$ is the whole space $(B_{1}hat{otimes}_{pi}{B}_1{)}^{ast}$ then the $chi$-quadratic variation coincides with the quadratic variation of a $B_1$-valued semimartingale. We evaluate the $chi$-covariation of various processes for several examples of $chi$ with a particular attention to the case $B_1=B_2=C([-au,0])$ for some $au>0$ and $X$ and $Y$ being extit{window processes}. If $X$ is a real valued process, we call window process associated with $X$ the $C([-au,0])$-valued process $X:=X(cdot)$ defined by $X_t(y)=X_{t+y}$, where $yin[-au,0]$. The It^o formula introduced here is an important instrument to establish a representation result of Clark-Ocone type for a class of path dependent random variables of type $h=H(X_T(cdot))$, $H:C([-T,0])longrightarrowR$ for not-necessarily semimartingales $X$ with finite quadratic variation. This representation will be linked to a function $u:[0,T]imesC([-T,0])longrightarrowmathbbR$ solving an infinite dimensional partial differential equation.

Full work available at URL: https://arxiv.org/abs/1012.2484

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zbMATH Keywords

covariationstochastic integration\(\chi\)-statisticsBanach space valued stochastic processeswindow processesItō's formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic analysis (60H99) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

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Cited In (20)

• About classical solutions of the path-dependent heat equation
• Generalized covariation and extended Fukushima decomposition for Banach space-valued processes: applications to windows of Dirichlet processes
• Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations
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• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• The covariation for Banach space valued processes and applications
• Stochastic systems with memory and jumps

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