An Itō formula in the space of tempered distributions

DOI10.1007/s10959-015-0639-3zbMath1370.60095arXiv1411.6145OpenAlexW3104860462MaRDI QIDQ2360638

Suprio Bhar

Publication date: 4 July 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.6145

zbMATH Keywords

Lévy processessemimartingalesstochastic differential equationstempered distributionslocal timesstochastic integralsItō formulaHermite-Sobolev spaces

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise, Correction to: ``An Itō formula in the space of tempered distributions

Cites Work

• A generalization of Ito's formula
• Semimartingales: A course on stochastic processes
• From Tanaka's formula to Itô's formula: The fundamental theorem of stochastic calculus
• Probability representations of solutions to the heat equation
• Translation invariant diffusions in the space of tempered distributions
• Probabilistic representations of solutions of the forward equations
• Lévy Processes and Stochastic Calculus
• MARTINGALES OF RANDOM DISTRIBUTIONS
• Foundations of Modern Probability
• Stochastic Integrals Based on Martingales Taking Values in Hilbert Space
• Stochastic Equations in Infinite Dimensions
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