Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Infinite-dimensional calculus under weak spatial regularity of the processes.

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 Hilbertian 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.
Document type :
Preprints, Working Papers, ...
Complete list of metadatas

https://hal.inria.fr/hal-01226154
Contributor : Francesco Russo <>
Submitted on : Sunday, November 8, 2015 - 8:49:35 PM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM
Long-term archiving on: : Tuesday, February 9, 2016 - 10:58:53 AM

Files

articleHALNov2015.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01226154, version 1
  • ARXIV : 1511.05744

Citation

Franco Flandoli, Francesco Russo, Giovanni Zanco. Infinite-dimensional calculus under weak spatial regularity of the processes.. 2015. ⟨hal-01226154v1⟩

Share

Metrics

Record views

50

Files downloads

15