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

DOI10.1016/J.JDE.2008.03.026zbMATH Open1154.60051arXiv0804.0302OpenAlexW2963287223MaRDI QIDQ931640FDOQ931640

Authors: Jan van Neerven, Zdzislaw Brzezniak, Mark Veraar, Lutz Weis 

Publication date: 26 June 2008

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

Abstract: Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic evolution equations in UMD Banach spaces. The abstract results are applied to prove regularity in space and time of the solutions of the Zakai equation.

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

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

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Cited In (41)

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