Infinite-Dimensional Calculus Under Weak Spatial Regularity of the Processes

Franco Flandoli, Francesco Russo and Giovanni Zanco ()
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Franco Flandoli: Università di Pisa
Francesco Russo: ENSTA ParisTech, Université Paris-Saclay, Unité de Mathématiques appliquées
Giovanni Zanco: Institute of Science and Technology Austria (IST Austria)

Journal of Theoretical Probability, 2018, vol. 31, issue 2, 789-826

Abstract: Abstract 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.

Keywords: Stochastic calculus in Hilbert (Banach) spaces; Itô formula; 60H05; 60H15; 60H30 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10959-016-0724-2

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