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On asymptotics of Banach space-valued Itô functionals of Brownian rough paths. (English) Zbl 1176.60045

Benth, Fred Espen (ed.) et al., Stochastic analysis and applications. The Abel symposium 2005. Proceedings of the second Abel symposium, Oslo, Norway, July 29 – August 4, 2005, held in honor of Kiyosi Itô. Berlin: Springer (ISBN 978-3-540-70846-9/hbk). Abel Symposia 2, 415-434 (2007).
The authors considered the nonlinear Stratonovich stochastic differential equation in Banach space \[ dx^\varepsilon(t)= b(x^\varepsilon(t))\,dt+ \sigma(x^\varepsilon(t))\,\varepsilon\circ dw(t),\quad x^\varepsilon(0)= 0, \] where the coefficients \(b\) and \(\sigma\) takes values in \(Y\) and in the space of bounded linear operators from \(X\) to \(Y\) denoted by \(L(X, Y)\), respectively; \(X\) and \(Y\) are real separable infinite-dimensional Banach spaces; \(b\) and \(\sigma\) satisfy suitable regularity conditions; \(w(t)\), \(0\leq t\leq 1\) is the \(X\)-valued Wiener process; \(\varepsilon\) is a small parameter.
Using the Banach space-space valued rough path theory of T. Lyons the authors have discussed the Freidlin-Wentzell type large deviation principle for \(x^\varepsilon\) and the asymptotic behavior of the Laplace type functional integral \[ \lim_{\varepsilon\to 0}\,E\Biggl[\exp\Biggl\{-{F(x^\varepsilon)\over \varepsilon^2}\Biggr\}\Biggr]. \] An application of the obtained results is shown for two examples, namely for heat processes on loop spaces and for the solutions of stochastic differential equations on M-type 2 Banach spaces.
For the entire collection see [Zbl 1113.60006].

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H25 Random operators and equations (aspects of stochastic analysis)
47E05 General theory of ordinary differential operators