All Questions

I feel confused with a particular step in the $L^2$ consturction of Brownian motion. Let $\{\xi_n \sim N(0,1)\}_{n\geq 1}$ be a sequence of i.i.d Gaussian random variables on some probability space $(\...

I know that there exist Ito formulae to understand $ f(X), $ where $f: H\rightarrow \mathbb{R}$ is sufficiently nice, $H$ is a Hilbert space and $X$ is an $H$-valued semi-martingale. However I'm ...

Suppose that $Y_t$ is a special square-integrable $\mathbb{R}$-valued semi-martingale and let $\mathcal{L}^2(Y)$ denote the set of $Y$-predictable processes satisfying $$ \mathbb{E}\left[ \int_0^{\...

Suppose: $$ dX_t = a(t,X_t)dt + b(t,X_t)dW^H_t $$ is an SDE with values in a separable Hilbert Space $H$, and $W^H_t$ is an $H$-valued cylindrical Wiener process. Then can we write the dynamics for $...

I'm fairly familiar with the literature dealing with convergence of SDEs in $\mathbb{R}^d$ but recently I've needed to use extended results dealing with convergence of SDEs in Hilbert Spaces. However ...