Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
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linear non-autonomous stochastic evolution equationsstochastic integration in Banach spacesUMD Banach spacesWong-Zakai approximationZakai equation
Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) PDEs with randomness, stochastic partial differential equations (35R60) Probabilistic methods in Banach space theory (46B09) Probability theory on linear topological spaces (60B11) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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.
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