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Infinite dimensional weak Dirichlet processes and convolution type processes

Author

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  • Giorgio Fabbri

    (Aix-Marseille University (Aix-Marseille School of Economics), CNRS and EHESS)

  • Francesco Russo

    (ENSTA ParisTech, Université Paris-Saclay, Unité de Mathématiques appliquées)

Abstract

The present paper continues the study of infinite dimensional calculus via regularization, started by C. Di Girolami and the second named author, introducing the notion of weak Dirichlet process in this context. Such a process X, taking values in a Banach space H, is the sum of a local martingale and a suitable orthogonal process. The concept of weak Dirichlet process fits the notion of convolution type processes, a class including mild solutions for stochastic evolution equations on infinite dimensional Hilbert spaces and in particular of several classes of stochastic partial differential equations (SPDEs). In particular the mentioned decomposition appears to be a substitute of an Itô’s type formula applied to f(t;X(t)) where f : [0; T] x H → R is a C0;1 function and X a convolution type processes.

Suggested Citation

  • Giorgio Fabbri & Francesco Russo, 2016. "Infinite dimensional weak Dirichlet processes and convolution type processes," LIDAM Discussion Papers IRES 2016011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvir:2016011
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    File URL: http://sites.uclouvain.be/econ/DP/IRES/2016011.pdf
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    References listed on IDEAS

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    1. Giorgio FABBRI & Francesco RUSSO, 2012. "Infinite dimensional weak Dirichlet processes, stochastic PDEs and optimal control," LIDAM Discussion Papers IRES 2012017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Fabbri, Giorgio & Russo, Francesco, 2017. "Infinite dimensional weak Dirichlet processes and convolution type processes," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 325-357.
    3. Gozzi, Fausto & Russo, Francesco, 2006. "Verification theorems for stochastic optimal control problems via a time dependent Fukushima-Dirichlet decomposition," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1530-1562, November.
    4. Cristina Girolami & Giorgio Fabbri & Francesco Russo, 2014. "The covariation for Banach space valued processes and applications," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(1), pages 51-104, January.
    5. Errami, Mohammed & Russo, Francesco, 2003. "n-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes," Stochastic Processes and their Applications, Elsevier, vol. 104(2), pages 259-299, April.
    6. Gozzi, Fausto & Russo, Francesco, 2006. "Weak Dirichlet processes with a stochastic control perspective," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1563-1583, November.
    7. Editors The, 2007. "From the Editors," Basic Income Studies, De Gruyter, vol. 2(1), pages 1-5, June.
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    Cited by:

    1. Giorgio Fabbri & Francesco Russo, 2017. "HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations via Generalized Fukushima Decomposition," AMSE Working Papers 1704, Aix-Marseille School of Economics, France.
    2. Giorgio Fabbri & Francesco Russo, 2016. "Infinite Dimensional Weak Dirichlet Processes and Convolution Type Processes," Working Papers halshs-01309384, HAL.
    3. Fabbri, Giorgio & Russo, Francesco, 2017. "Infinite dimensional weak Dirichlet processes and convolution type processes," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 325-357.
    4. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.

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