The Ito Formula for the Ito Processes Driven by the Wiener Processes in a Banach Space
Pure and Applied Mathematics Journal
Volume 4, Issue 4, August 2015, Pages: 164-171
Received: May 30, 2015; Accepted: Jun. 12, 2015; Published: Aug. 10, 2015
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Author
Badri Mamporia, Niko Muskhelishvili Institute of Computational Mathematics, Technical University of Georgia, Tbilisi, Georgia
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Abstract
Using traditional methods it is possible to prove the Ito formula in a Hilbert space and some Banach spaces with special geometrical properties. The class of such Banach spaces is very narrow-they are subclass of reflexive Banach spaces. Using the definition of a generalized stochastic integral, early we proved the Ito formula in an arbitrary Banach space for the case, when as initial Ito process was the Wiener process. For an arbitrary Banach space and an arbitrary Ito process it is impossible to find the sequence of corresponding step functions with the desired convergence. We consider the space of generalized random processes, introduce general Ito process there and prove in it the Ito formula. Afterward, from the main Ito process in a Banach space we receive the generalized Ito process in the space of generalized random processes and we get the Ito formula in this space. Then we check decompasibilility of the members of the received equality and as they turn out Banach space valued, we get the Ito formula in an arbitrary Banach space. We implemented this approach when the stochastic integral in the Ito process was taken from a Banach space valued non-anticipating random process by the one dimensional Wiener process. In this paper we consider the case, when the stochastic integral is taken from an operator- valued non-anticipating random process by the Wiener process with values in a Banach space.
Keywords
Wiener Process in a Banach Space, Covariance Operators, Ito Stochastic Integrals and Ito Processes, the Ito Formula, Stochastic Differential Equations in a Banach Space
To cite this article
Badri Mamporia, The Ito Formula for the Ito Processes Driven by the Wiener Processes in a Banach Space, Pure and Applied Mathematics Journal. Vol. 4, No. 4, 2015, pp. 164-171. doi: 10.11648/j.pamj.20150404.15
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