The C^0,1 Itô-Ventzell formula for weak Dirichlet processes

DOI10.1214/25-ECP686MaRDI QIDQ6969047zbMATH OpenFDO

Authors Felix Fießinger, Mitja Stadje

Publication date 23 June 2025

Published in Electronic Communications in Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-communications-in-probability/volume-30/issue-none/The-C01-It%c3%b4-Ventzell-formula-for-weak-Dirichlet-processes/10.1214/25-ECP686.full

zbMATH Keywords

elliptic stochastic PDEfinancial mathematicsgeneralized Itô-Ventzell formulaintegration via regularizationweak Dirichlet process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Financial applications of other theories (91G80)

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