Itô's formula for the L p-norm of stochastic wp1-valued processes

N. V. Krylov

doi:10.1007/s00440-009-0217-7

Itô's formula for the L _p-norm of stochastic w_p¹-valued processes

N. V. Krylov

School of Mathematics

Research output: Contribution to journal › Article › peer-review

55 Scopus citations

Abstract

We prove Itô's formula for the L_p-norm of stochastic w_p¹-valued processes appearing in the theory of SPDEs in divergence form.

Original language	English (US)
Pages (from-to)	583-605
Number of pages	23
Journal	Probability Theory and Related Fields
Volume	147
Issue number	3
DOIs	https://doi.org/10.1007/s00440-009-0217-7
State	Published - Jul 2010

Bibliographical note

Funding Information:
The work was partially supported by NSF Grant DMS-0653121.

Keywords

Divergence equations
Itô's formula
Stochastic partial differential equations

Publisher link

10.1007/s00440-009-0217-7

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Cite this

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title = "It{\^o}'s formula for the L p-norm of stochastic wp1-valued processes",

abstract = "We prove It{\^o}'s formula for the Lp-norm of stochastic wp1-valued processes appearing in the theory of SPDEs in divergence form.",

keywords = "Divergence equations, It{\^o}'s formula, Stochastic partial differential equations",

author = "Krylov, \{N. V.\}",

note = "Funding Information: The work was partially supported by NSF Grant DMS-0653121.",

year = "2010",

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N2 - We prove Itô's formula for the Lp-norm of stochastic wp1-valued processes appearing in the theory of SPDEs in divergence form.

AB - We prove Itô's formula for the Lp-norm of stochastic wp1-valued processes appearing in the theory of SPDEs in divergence form.

KW - Divergence equations

KW - Itô's formula

KW - Stochastic partial differential equations

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DO - 10.1007/s00440-009-0217-7

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