B. Mamporia

On the Existence and Uniqueness of a Solution to a Stochastic Differential Equation in a Banach Space

Abstract:
A sufficient condition is given for the existence of a solution to a stochastic differential equation in an arbitrary Banach space. The method is based on the concept of covariance operator and a special construction of the It@ocirc stochastic integral in an arbitrary Banach space.

Keywords:
Covariance operators, Wiener processes, It@ocirc} stochastic integrals and stochastic differential equations in Banach space.

MSC 2000: 60B11, 60H10, 60H05