Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

Abstract : The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the studyof strict solutions of Kolmogorov path dependent equations associated with "windows" of diffusion processes. One makes the link between the Banach space approach and the so called functional stochastic calculus. When no strict solutions are available one describes the notion of strong-viscosity solution which alternative (in infinite dimension) to the classical notion of viscosity solution.
Type de document :
Pré-publication, Document de travail
2014
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https://hal.inria.fr/hal-01088856
Contributeur : Francesco Russo <>
Soumis le : vendredi 28 novembre 2014 - 18:01:01
Dernière modification le : lundi 29 mai 2017 - 14:23:05
Document(s) archivé(s) le : vendredi 14 avril 2017 - 23:17:54

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CDRSubmitted26nov2014.pdf
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  • HAL Id : hal-01088856, version 1
  • ARXIV : 1411.8000

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Andrea Cosso, Cristina Di Girolami, Francesco Russo. Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. 2014. <hal-01088856>

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