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Proceedings Year : 2016

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.
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Dates and versions

hal-01088856 , version 1 (28-11-2014)

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Andrea Cosso, Cristina Di Girolami, Francesco Russo. Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Probability on Algebraic and Geometric Structures, June 5-7 2014 (668), American Mathematical Society; Contemporary Mathematics, 2016, Contemporary Mathematics, ⟨10.1090/conm/668/13396⟩. ⟨hal-01088856⟩
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