Pathwise Taylor Expansions for Itô Random Fields

Rainer Buckdahn; Ingo Bulla; Jin Ma

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arXiv · 1008.3221

Pathwise Taylor Expansions for Itô Random Fields

Rainer Buckdahn·Ingo Bulla·Jin Ma

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Abstract

In this paper we study the {\it pathwise stochastic Taylor expansion}, in the sense of our previous work \cite{Buckdahn_Ma_02}, for a class of Itô-type random fields in which the diffusion part is allowed to contain both the random field itself and its spatial derivatives. Random fields of such an "self-exciting" type particularly contains the fully nonlinear stochastic PDEs of curvature driven diffusion, as well as certain stochastic Hamilton-Jacobi-Bellman equations. We introduce the new notion of "$n$-fold" derivatives of a random field, as a fundamental device to cope with the special self-exciting nature. Unlike our previous work \cite{Buckdahn_Ma_02}, our new expansion can be defined around any random time-space point $(\t,ξ)$, where the temporal component $\t$ does not even have to be a stopping time. Moreover, the exceptional null set is independent of the choice of the random point $(\t,ξ)$. As an application, we show how this new form of pathwise Taylor expansion could lead to a different treatment of the stochastic characteristics for a class of fully nonlinear SPDEs whose diffusion term involves both the solution and its gradient, and hence lead to a definition of the {\it stochastic viscosity solution} for such SPDEs, which is new in the literature.

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BibTeX RIS

Rainer Buckdahn, Ingo Bulla, Jin Ma. 2010-08-19. Pathwise Taylor Expansions for Itô Random Fields. https://arxiv.org/abs/1008.3221

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