Functional It\=o calculus in Hilbert spaces and application to path-dependent Kolmogorov equations

arXiv1606.06326MaRDI QIDQ6274792FDOQ6274792

Publication date: 20 June 2016

Abstract: Recently, functional It=o calculus has been introduced and developed in finite dimension for functionals of continuous semimartingales. With different techniques, we develop a functional It=o calculus for functionals of Hilbert spacevalued diffusions. In this context, we first prove a path-dependent It=o's formula, then we show applications to classical solutions of path-dependent Kolmogorov equations in Hilbert spaces and derive a Clark-Ocone type formula. Finally, we explicitly verify that all the theory developed can be applied to a class of diffusions driven by SDEs with a path-dependent drift (suitably regular) and constant diffusion coefficient.

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