Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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STOCHASTIC CALCULUS FOR BANACH SPACE VALUED REGULAR STOCHASTIC PROCESSES

  • Choi, Byoung Jin (Department of Mathematics Chungbuk National University) ;
  • Choi, Jin Pil (Department of Mathematics Chungbuk National University) ;
  • Ji, Un Cig (Department of Mathematics Research Institute of Mathematical Finance Chungbuk National University)
  • Received : 2010.11.11
  • Accepted : 2011.02.15
  • Published : 2011.03.30
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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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References

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