The covariation for Banach space valued processes and applications

DOI10.1007/s00184-013-0472-6zbMath1455.60073arXiv1301.5715OpenAlexW1972285740MaRDI QIDQ2441314

Francesco Russo, Cristina Di Girolami, Giorgio Fabbri

Publication date: 24 March 2014

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.5715

zbMATH Keywords

stochastic partial differential equationsClark-Ocone formulaItô formulaKolmogorov equationquadratic variationinfinite-dimensional analysiscalculus via regularization

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probability theory on linear topological spaces (60B11)

Related Items (9)

Brownian representations of cylindrical continuous local martingales ⋮ An infinite-dimensional approach to path-dependent Kolmogorov equations ⋮ Infinite dimensional Ornstein-Uhlenbeck processes with unbounded diffusion - Approximation, quadratic variation, and Itô formula ⋮ Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ An approach to stochastic integration in general separable Banach spaces ⋮ Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion ⋮ The functional Itō formula under the family of continuous semimartingale measures ⋮ Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

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