The covariation for Banach space valued processes and applications |
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Authors: | Cristina Di Girolami Giorgio Fabbri Francesco Russo |
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Affiliation: | 1. Dipartimento di Economia Aziendale, Università G.D’Annunzio di Pescara, Pescara, Italy 2. Laboratoire Manceau de Mathématiques, Département de Mathématiques, Faculté des Sciences et Techniques, Université du Maine, Avenue Olivier Messiaen, 72085?, Le Mans Cedex 9, France 3. Département d’Economie, EPEE, Université d’Evry-Val-d’Essonne (TEPP, FR-CNRS 3126), 4 Bd. Fran?ois Mitterrand, 91025?, Evry cedex, France 4. ENSTA ParisTech, Unité de Mathématiques appliquées, 828, boulevard des Maréchaux, 91120?, Palaiseau, France
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Abstract: | This article focuses on a recent concept of covariation for processes taking values in a separable Banach space $B$ and a corresponding quadratic variation. The latter 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. |
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