Relation Between Stochastic Integrals and the Geometry of Banach Spaces

DOI10.1080/07362990903259793MaRDI QIDQ3651648zbMATH OpenOpenAlexFDO

Authors V. S. Mandrekar, Barbara Rüdiger

Publication date 11 December 2009

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990903259793

zbMATH Keywords

\(M\)-type 2 and type 2 Banach spacesadditive processescompensated Poisson random measuresmultiplicative noisepettis and Ito integralsrandom Hilbert and Banach valued functionsstochastic integrals on separable Hilbert and Banach spaces

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Probabilistic methods in Banach space theory (46B09) Linear function spaces and their duals (46E99) Vector-valued measures and integration (46G10) Integral, integro-differential, and pseudodifferential operators (47G99) Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Stochastic integrals (60H05)

Recommendations

• A note on the Itô formula of stochastic integrals in Banach spaces
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• Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces

Cites work

• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• scientific article; zbMATH DE number 3716479 (Why is no real title available?)
• Martingales with values in uniformly convex spaces
• On the martingale problem for Banach space valued stochastic differential equations
• Stochastic integration of functions with values in a Banach space
• Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces
• Stochastic partial differential equations in M-type 2 Banach spaces
• The law of large numbers and the central limit theorem in Banach spaces

Cited in

(12)

• On Itô stochastic integral with respect to vector stable random measures
• The Itô integral for a certain class of Lévy processes and its application to stochastic partial differential equations
• Isomorphisms for spaces of predictable processes and an extension of the Itô integral
• Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
• A note on the Itô formula of stochastic integrals in Banach spaces
• scientific article; zbMATH DE number 4067975 (Why is no real title available?)
• scientific article; zbMATH DE number 4069944 (Why is no real title available?)
• Stochastic Integrals and the Lévy–Ito Decomposition Theorem on Separable Banach Spaces
• Itô isomorphisms for \(L^{p}\)-valued Poisson stochastic integrals
• Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces
• Stability properties of mild solutions of SPDEs related to pseudo differential equations
• Representation of Itô integrals by Lebesgue/Bochner integrals

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