Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
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Publication:931640
Zakai equationUMD Banach spacesWong-Zakai approximationstochastic integration in Banach spaceslinear non-autonomous stochastic evolution equations
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)
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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