On the Itô-Wentzell formula for distribution-valued processes and related topics

N. V. Krylov

doi:10.1007/s00440-010-0275-x

On the Itô-Wentzell formula for distribution-valued processes and related topics

N. V. Krylov

School of Mathematics

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

58 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	295-319
Number of pages	25
Journal	Probability Theory and Related Fields
Volume	150
Issue number	1-2
DOIs	https://doi.org/10.1007/s00440-010-0275-x
State	Published - Jun 2011

Bibliographical note

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

Keywords

Itô-Wentzell formula
Stochastic Fubini theorem

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10.1007/s00440-010-0275-x

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title = "On the It{\^o}-Wentzell formula for distribution-valued processes and related topics",

abstract = "We prove the It{\^o}-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the It{\^o}-Wentzell formula for real-valued processes, appropriate versions of which are also proved.",

keywords = "It{\^o}-Wentzell formula, Stochastic Fubini theorem",

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

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

year = "2011",

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doi = "10.1007/s00440-010-0275-x",

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pages = "295--319",

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AU - Krylov, N. V.

N1 - Funding Information: The work was partially supported by NSF grant DMS-0653121.

PY - 2011/6

Y1 - 2011/6

N2 - 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.

AB - 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.

KW - Itô-Wentzell formula

KW - Stochastic Fubini theorem

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On the Itô-Wentzell formula for distribution-valued processes and related topics

Abstract

Bibliographical note

Keywords

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