The paper surveys 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.

Cosso, A., Di Girolami, C., Russo, F. (2016). Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Providence, Rhode Island : American Mathematical Society.

Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

Cosso, Andrea;Di Girolami, Cristina;
2016

Abstract

The paper surveys 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.
2016
PROBABILITY ON ALGEBRAIC AND GEOMETRIC STRUCTURES
43
65
Cosso, A., Di Girolami, C., Russo, F. (2016). Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations. Providence, Rhode Island : American Mathematical Society.
Cosso, Andrea; Di Girolami, Cristina; Russo, Francesco
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/610838
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