# Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion

october, 2015

Publication type:

Paper in peer-reviewed journals

Publisher:

Springer Proceedings in Mathematics and Statistics. F.E. Benth and G. Di Nunno (eds.), Stochastics of Environmental and Financial Economics,

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Keywords :

Horizontal and vertical derivative; functional Itô/path-dependent calculus;
Banach space stochastic calculus; Strong-viscosity solutions; Calculus via
regularization

Abstract:

First, we revisit basic theory of functional Itô/path-dependent calculus,
using the formulation of calculus via regularization. Relations with the corresponding Banach space valued calculus are explored. The second part of the paper is devoted to the study of the Kolmogorov type equation associated with the so called window Brownian motion, called path-dependent heat equation, for which well-posedness at the level of strict solutions is established. Then, a notion of strong approximating solution, called strong-viscosity solution, is introduced which is supposed to be a substitution tool to the viscosity solution. For that kind of solution, we also prove existence and uniqueness.

BibTeX:

@article{Cos-Rus-2015, author={Andrea Cosso and Francesco Russo }, title={Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion }, doi={10.1007/978-3-319-23425-0_2 }, year={2015 }, month={10}, volume={138 }, pages={27--80}, }