Stochastic Integration in Banach Spaces - a Survey
By J. V. Neerven, Mark Veraar, Lutz Weis. 2013
82 citations recorded by the source corpus.
This paper presents a brief survey of the theory of stochastic integration in Banach spaces. Expositions of the stochastic integrals in martingale type 2 spaces and UMD spaces are presented, as well as some applications of the latter to vector-valued Malliavin calculus and the stochastic maximal regularity problem. A new proof of the stochastic maximal regularity theorem is included.
Subfields: Applied Mathematics, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/34b1a13fb1ebc551e16fd1c0b2a63124bee44eb0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Applied Mathematics
- Lucio Galeati
- Petru A. Cioica-Licht
- Sonja G. Cox
- Massimiliano Gubinelli
- Mark Veraar
- J. V. Neerven
- Samy Tindel
- Lutz Weis
In Finance
- Lucio Galeati
- Sonja G. Cox
- Petru A. Cioica-Licht
- Massimiliano Gubinelli
- Mark Veraar
- Martin Hairer
- Samy Tindel
- Nicolas Perkowski
In Mathematical Physics
- Lucio Galeati
- Sonja G. Cox
- Petru A. Cioica-Licht
- Massimiliano Gubinelli
- Mark Veraar
- Martin Hairer
- Samy Tindel
- Peter K. Friz
Citations in the corpus
- Stochastic integration in quasi-Banach spaces (2006, background): “Regarding stochastic integrands, as already mentioned above, our approach is similar in spirit to the stochastic integration theory in Banach spaces with the UMD property that was developed in [71] (a survey can be found in [73]).”
- Noiseless regularisation by noise (2020, background): “In the above statement, γ(L(2)(R+), X) stands for the p-th γ-Radonifying norm; we omit the precise definition, which can be found in [49], [50].”