scientific article; zbMATH DE number 1409850

Authors

Publication date 2 March 2000

extended stochastic integral Hilbert space probability measure separable Banach space smooth function

Stochastic integrals (60H05) Random operators and equations (aspects of stochastic analysis) (60H25)

The author considers a probability space \((X,{\mathcal B}(X),\mu)\), where \(X\) is a separable Banach space, \({\mathcal B}(X)\) is the Borel \(\sigma\)-algebra, there exists a separable Hilbert space \(H\subset X\) such that the inclusion map \(i: H\to X\) is continuous and \(i(H)\) is dense in \(X.\) The measure \(\mu\) is differentiable with respect to direction of \(H\), that is for all \(h\in H\), \(B\in{\mathcal B}(x)\) the finite limit \(\mu_h'(B)=\lim_{t\to 0}(\mu(B+th)-\mu(B))/t\) exists. Let \(F=(f(\langle h_1,\cdot\rangle,\dots, \langle h_{n},\cdot\rangle)).\) For \(F\) there exists a Frechet derivative \(DF\) with respect to space \(H\) \[ DF(x)=\sum_{k=1}^{n} {\partial f_{k}\over\partial x_{k}} (\langle h_1,x\rangle,\dots,\langle h_{n},x\rangle)h_{k}. \] Let \(W_{p}^1\) be the domain of definition of the operator \(D.\) The author proves that conditional mathematical expectation \(E(\xi\mid \sigma(F_1,\ldots,F_{n}))\) is smooth if \(\xi\), \(F_{k}\) are smooth. Let \(\sigma_{n}=\sigma(F)\), \(E^{\sigma_{n}}= E(\cdot/\sigma_{n}).\) Theorem. Let \(\xi\in W_{\alpha}^1\), \(F_{k}\in W_{\beta}^1\), \(k=1,2,\ldots,n\), \(d_{i}=\sum_{j=1}^{n}\gamma_{ij} DF_{j}\in D_{\gamma}\), \(({1\over\alpha}+{1\over\beta}+ {1\over\gamma})\geq 1\), and let the density of \(\mu^{F}\), the image-measure of \(\mu\) under the mapping \(F\), be continuous and positive. Then \(E^{\sigma_{n}}\xi\in W_{\alpha\beta\gamma/(\alpha\beta+ \beta\gamma+\gamma\alpha)}^1\), and the following formula holds true \[ DE^{\sigma_{n}}\xi=\sum_{k=1}^{n}\left\{ E^{\sigma_{n}}\xi E^{\sigma_{n}} I_{d_{k}}- E^{\sigma_{n}}(\xi I_{d_{k}})+ E^{\sigma_{n}}\langle D\xi,d_{k}\rangle\right\} DF_{k}. \] The author considers some examples. Some formulae of conditional mathematical expectation for the extended stochastic integral are also given.

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