Stochastic integration of operator-valued functions with respect to Banach space-valued Brownian motion

被引:15
|
作者
van Neerven, J. M. A. M. [1 ]
Weis, L. [2 ]
机构
[1] Delft Univ Technol, Dept Appl Math Anal, NL-2600 GA Delft, Netherlands
[2] Tech Univ Karlsruhe, Inst Math 1, D-76128 Karlsruhe, Germany
关键词
stochastic integration in Banach spaces; gamma-radonifying operators; property(alpha); measurable linear extensions; stochastic evolution equations;
D O I
10.1007/s11118-008-9088-2
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
Let E be a real Banach space with property (alpha) and let W-Gamma be an E-valued Brownian motion with distribution Gamma. We show that a function Psi : [0, T] --> L(E) is stochastically integrable with respect to W-Gamma if and only if Gamma-almost all orbits Psi x are stochastically integrable with respect to a real Brownian motion. This result is derived from an abstract result on existence of Gamma-measurable linear extensions of gamma-radonifying operators with values in spaces of gamma-radonifying operators. As an application we obtain a necessary and sufficient condition for solvability of stochastic evolution equations driven by an E-valued Brownian motion.
引用
收藏
页码:65 / 88
页数:24
相关论文
共 50 条