Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation

DOI10.1016/j.jde.2008.03.026zbMath1154.60051arXiv0804.0302OpenAlexW2963287223MaRDI QIDQ931640

J. M. A. M. van Neerven, Zdzisław Brzeźniak, Lutz W. Weis, Mark C. Veraar

Publication date: 26 June 2008

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0302

zbMATH Keywords

Zakai equationUMD Banach spacesWong-Zakai approximationstochastic integration in Banach spaceslinear non-autonomous stochastic evolution equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods in Banach space theory (46B09) PDEs with randomness, stochastic partial differential equations (35R60) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probability theory on linear topological spaces (60B11)

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