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.

Infinite dimensional calculus under weak spatial regularity of the processes / Flandoli, F; Russo, F; Zanco, Giovanni Alessandro. - In: JOURNAL OF THEORETICAL PROBABILITY. - ISSN 0894-9840. - 31:2(2018), pp. 789-826. [10.1007/s10959-016-0724-2]

Infinite dimensional calculus under weak spatial regularity of the processes

Zanco G
2018

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.
2018
Stochastic calculus in Hilbert (Banach) spaces; Itô formula
Infinite dimensional calculus under weak spatial regularity of the processes / Flandoli, F; Russo, F; Zanco, Giovanni Alessandro. - In: JOURNAL OF THEORETICAL PROBABILITY. - ISSN 0894-9840. - 31:2(2018), pp. 789-826. [10.1007/s10959-016-0724-2]
File in questo prodotto:
File Dimensione Formato  
frz.pdf

Open Access dal 02/06/2019

Tipologia: Documento in Post-print
Licenza: DRM (Digital rights management) non definiti
Dimensione 327.7 kB
Formato Adobe PDF
327.7 kB Adobe PDF Visualizza/Apri
Flandoli2018_Article_Infinite-DimensionalCalculusUn.pdf

Solo gestori archivio

Tipologia: Versione dell'editore
Licenza: DRM (Digital rights management) non definiti
Dimensione 606.81 kB
Formato Adobe PDF
606.81 kB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/183478
Citazioni
  • Scopus 5
  • ???jsp.display-item.citation.isi??? 5
  • OpenAlex ND
social impact