Path-Dependent SDEs in Hilbert Spaces

DOI10.1007/978-3-030-22285-7_9zbMath1498.60236arXiv1606.06321OpenAlexW2970501464MaRDI QIDQ5038298

Mauro Rosestolato

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.06321

zbMATH Keywords

contraction mapping theoremGâteaux differentiabilitystochastic functional differential equations in Hilbert spaces

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear differential equations in abstract spaces (34G20) Fixed-point theorems (47H10) Infinite-dimensional random dynamical systems; stochastic equations (37L55)

Related Items (4)

A Stochastic Model of Economic Growth in Time-Space ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case ⋮ Path-dependent equations and viscosity solutions in infinite dimension

Cites Work

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• A functional extension of the Ito formula
• Change of variable formulas for non-anticipative functionals on path space
• Functional Itō calculus and stochastic integral representation of martingales
• Stochastic Differential Equations in Infinite Dimensions
• Stochastic Equations in Infinite Dimensions
• Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
• Functional Itô calculus
• Second order PDE's in finite and infinite dimension
• Stochastic Equations in Infinite Dimensions

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