Infinite-dimensional calculus under weak spatial regularity of the processes

Flandoli, Franco and Russo, Francesco and Zanco, Giovanni (2016) Infinite-dimensional calculus under weak spatial regularity of the processes. Journal of Theoretical Probability. ISSN 0894-9840

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Two generalizations of Itô formula to infinite-dimensional spaces are given. The first one, in Hilbert spaces, extends the classical one by taking advantage of cancellations when they occur in examples and it is applied to the case of a group generator. The second one, based on the previous one and a limit procedure, is an Itô formula in a special class of Banach spaces having a product structure with the noise in a Hilbert component; again the key point is the extension due to a cancellation. This extension to Banach spaces and in particular the specific cancellation are motivated by path-dependent Itô calculus.

Item Type: Article
DOI: 10.1007/s10959-016-0724-2
Uncontrolled Keywords: Stochastic calculus in Hilbert (Banach) spaces, Itô formula
Subjects: 500 Science > 510 Mathematics > 519 Probabilities & applied mathematics
Research Group: Maas Group
SWORD Depositor: Sword Import User
Depositing User: Sword Import User
Date Deposited: 06 Dec 2016 13:37
Last Modified: 04 Sep 2017 14:49

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