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 Teor. Veroyatnost. i Primenen., 2016, Volume 61, Issue 2, Pages 348–364 (Mi tvp5059)

Linear stochastic differential equation in the Banach space

B. Mamporia

Muskhelishvili Institute of Computational Mathematics

Abstract: A linear stochastic differential equation in an arbitrary separable Banach space is considered. To solve this equation, the corresponding linear stochastic differential equation for generalized random processes is constructed and its solution is produced as a generalized Itô process. The conditions under which the received generalized random process is the Itô process in a Banach space are found, and thus the solution of the considered linear stochastic differential equation is obtained. The heart of this approach is the conversion of the main equation in a Banach space to the equation for generalized random processes, to find the generalized solution, and then to learn the conditions under which the obtained generalized random process is the random process with values in a Banach space.

DOI: https://doi.org/10.4213/tvp5059

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English version:
Theory of Probability and its Applications, 2017, 61:2, 295–308

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Revised: 21.09.2015

Citation: B. Mamporia, “Linear stochastic differential equation in the Banach space”, Teor. Veroyatnost. i Primenen., 61:2 (2016), 348–364; Theory Probab. Appl., 61:2 (2017), 295–308

Citation in format AMSBIB
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