STOCHASTIC CALCULUS FOR BANACH SPACE VALUED REGULAR STOCHASTIC PROCESSES

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Published: Feb 15, 2011
DOI: https://doi.org/10.14403/jcms.2011.24.1.45
Keywords:
regular stochastic process, stochastic integral, stochastic differential equation, noncommutative stochastic calculus
Mathematics Subject Classification (2020):
Primary 60H05, Secondary 60H10

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Byoung Jin Choi
Department of Mathematics, Chungbuk National University
Jin Pil Choi
Department of Mathematics, Chungbuk National University
Un Cig Ji
Department of Mathematics, Research Institute of Mathematical Finance

Abstract





We study the stochastic integral of an operator valued process against with a Banach space valued regular process. We establish the existence and uniqueness of solution of the stochastic differential equation for a Banach space valued regular process under the certain conditions. As an application of it, we study a noncommutative stochastic differential equation.





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Article Details

Issue
Vol. 24 No. 1 (2011)
Section
Articles