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.
Type de document :
Pré-publication, Document de travail
2013
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https://hal.inria.fr/hal-00780430
Contributeur : Francesco Russo <>
Soumis le : jeudi 1 août 2013 - 20:22:52
Dernière modification le : jeudi 24 août 2017 - 13:56:06
Document(s) archivé(s) le : samedi 2 novembre 2013 - 04:12:45

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  • HAL Id : hal-00780430, version 2
  • ARXIV : 1301.5715

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Cristina Di Girolami, Giorgio Fabbri, Francesco Russo. The covariation for Banach space valued processes and applications.. 2013. 〈hal-00780430v2〉

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