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The covariation for Banach space valued processes and applications

Abstract : This article focuses on a new concept of quadratic variation for processes taking values in a Banach space $B$ and a corresponding covariation. This is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace $\chi$ of the dual of the projective tensor product of $B$ with itself. We also introduce the notion of a convolution type process, which is a natural generalization of the Itô process and the concept of $\bar \nu_0$-semimartingale, which is a natural extension of the classical notion of semimartingale. The framework is the stochastic calculus via regularization in Banach spaces. Two main applications are mentioned: one related to Clark-Ocone formula for finite quadratic variation processes; the second one concerns the probabilistic representation of a Hilbert valued partial differential equation of Kolmogorov type.
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Contributor : Francesco Russo Connect in order to contact the contributor
Submitted on : Thursday, August 1, 2013 - 8:22:52 PM
Last modification on : Wednesday, May 11, 2022 - 12:06:06 PM
Long-term archiving on: : Saturday, November 2, 2013 - 4:12:45 AM


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Cristina Di Girolami, Giorgio Fabbri, Francesco Russo. The covariation for Banach space valued processes and applications. Metrika, 2014, 77 (1), pp.51-104. ⟨10.1007/s00184-013-0472-6⟩. ⟨hal-00780430v2⟩



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