We prove the Itô-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the Itô-Wentzell formula for real-valued processes, appropriate versions of which are also proved.
Bibliographical noteFunding Information:
The work was partially supported by NSF grant DMS-0653121.
- Itô-Wentzell formula
- Stochastic Fubini theorem