On Itô formulas for jump processes
From MaRDI portal
Publication:2052795
Abstract: A well-known It^o formula for finite dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the classical It^o formula for semimartingales with jumps, is then used to obtain a generalisation of an important infinite dimensional It^o formula for continuous semimartingales proved by Krylov to a class of -valued jump processes. This generalisation is motivated by applications in the theory of stochastic PDEs.
Recommendations
- Itō's formula for Banach-space-valued jump processes driven by Poisson random measures
- Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
- An Itō formula in the space of tempered distributions
- Remarks on the transformation of Ito's formula for jump-diffusion processes
- Some Results of Backward Itô Formula
Cites work
- A concise course on stochastic partial differential equations
- A relatively short proof of Itô's formula for SPDEs and its applications
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 48405 (Why is no real title available?)
- Itô formula for processes taking values in intersection of finitely many Banach spaces
- Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
- Itô's formula for the \(L _{p }\)-norm of stochastic \({W^{1}_{p}}\)-valued processes
- Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
- Lectures on the Poisson Process
- Lévy Processes and Stochastic Calculus
- Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
- Maximal inequalities for stochastic convolutions driven by compensated Poisson random measures in Banach spaces
- On \(L_p\)-solvability of stochastic integro-differential equations
- On a class of Lévy stochastic networks
- On stochastic squations with respect to semimartingales III
- On stochastics equations with respect to semimartingales ii. itô formula in banach spaces
- On the stochastic Fubini theorem in infinite dimensions
- Queues and Lévy fluctuation theory
- Stochastic evolution equations
Cited in
(16)- Fixed jumps of additive processes
- Dyson type formula for pure jump Lévy processes with some applications to finance
- Rice formula for processes with jumps and applications
- An Itō formula in the space of tempered distributions
- On Itô's formula for elliptic diffusion processes
- On Itô's formula for semimartingales with jumps and non-\(\mathcal{C}^2\) functions
- Itô's formula for flows of measures on semimartingales
- scientific article; zbMATH DE number 1619472 (Why is no real title available?)
- Remarks on the transformation of Ito's formula for jump-diffusion processes
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Itō's formula for Banach-space-valued jump processes driven by Poisson random measures
- On partially observed jump diffusions. II: The filtering density
- Stochastic analysis of an economic growth model incorporating Itô-Lévy driven investment, optimal control and numerical simulation
- Refining extinction criteria in a complex multi-stage epidemic system with non-Gaussian Lévy noise
- An extended variational setting for critical SPDEs with Lévy noise
- Pure jump increasing processes and the change of variables formula
This page was built for publication: On Itô formulas for jump processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2052795)
