Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations
Probability
2014-12-01 v1
Abstract
The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the study of 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.
Keywords
Cite
@article{arxiv.1411.8000,
title = {Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations},
author = {Andrea Cosso and Cristina Di Girolami and Francesco Russo},
journal= {arXiv preprint arXiv:1411.8000},
year = {2014}
}
Comments
arXiv admin note: text overlap with arXiv:1401.5034