Infinite-dimensional calculus under weak spatial regularity of the processes

TL;DR

This paper develops two generalized Itô formulas for infinite-dimensional spaces, extending classical results by leveraging cancellations, with applications to group generators and path-dependent calculus in Banach spaces.

Contribution

It introduces novel Itô formulas in Hilbert and Banach spaces that utilize cancellations, broadening the scope of stochastic calculus in infinite dimensions.

Findings

Extended Itô formula in Hilbert spaces using cancellations

Itô formula in Banach spaces with product structure and cancellations

Applications to group generators and path-dependent calculus

Abstract

Two generalizations of It\^o formula to infinite-dimensional spaces are given. The first one, in Hilbert spaces, extends the classical one by taking advantage of cancellations, when they occur in examples and it is applied to the case of a group generator. The second one, based on the previous one and a limit procedure, is an It\^o formula in a special class of Banach spaces, having a product structure with the noise in a Hilbertian component, again the key point is the extension due to a cancellation. This extension to Banach spaces and in particular the specific cancellation are motivated by path-dependent It\^o calculus.