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

From MaRDI portal
Publication:718886

DOI10.1007/s00440-010-0275-xzbMath1238.60060arXiv0904.2752OpenAlexW2026288894MaRDI QIDQ718886

Nicolai V. Krylov

Publication date: 27 September 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.2752




Related Items (42)

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equationsA stochastic partial differential equation model for the pricing of mortgage-backed securitiesA stochastic Stefan-type problem under first-order boundary conditionsNeumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zoneSDEs with random and irregular coefficientsPricing Options under Rough Volatility with Backward SPDEsA Sobolev space theory for the stochastic partial differential equations with space-time non-local operatorsStochastic regularization effects of semi-martingales on random functionsOn classical solutions of linear stochastic integro-differential equationsLocal \(L_\infty\)-estimates, weak Harnack inequality, and stochastic continuity of solutions of SPDEsThe stochastic Navier-Stokes equations for heat-conducting, compressible fluids: global existence of weak solutionsThe generalized Itô–Venttsel’ formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integralKalman-Bucy filter and SPDEs with growing lower-order coefficients in \(W_{p}^{1}\) spaces without weightsA maximal inequality for fractional Brownian motionsExistence and uniqueness of weak solutions to Ginzburg-Landau equation with external noise and stochastic perturbationItô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flowsImplications of Kunita-Itô-Wentzell formula for \(k\)-forms in stochastic fluid dynamicsRandom Perturbations of Viscous, Compressible Fluids: Global Existence of Weak SolutionsA sharp \(L_p\)-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficientsCauchy problem of stochastic kinetic equationsA “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equationReflected backward stochastic partial differential equations in a convex domain\(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole spaceThe Hunter-Saxton equation with noiseLocalization errors in solving stochastic partial differential equations in the whole spaceOn the quasi-linear reflected backward stochastic partial differential equationsA comparison principle for stochastic integro-differential equationsAn Itô formula for rough partial differential equations and some applicationsAn infinite-dimensional model of liquidity in financial marketsA Stefan-type stochastic moving boundary problemFractional time stochastic partial differential equationsHörmander’s theorem for stochastic partial differential equations\(W^{2, p}\)-solutions of parabolic SPDEs in general domainsA Stochastic Partial Differential Equation Model for Limit Order Book DynamicsOn singularity as a function of time of a conditional distribution of an exit timeOn strong solutions of Itô's equations with \(\sigma\in W_{\mathtt{d}}^1\) and \(\mathtt{b}\in{L_{\mathtt{d}}}\)A Sobolev space theory for stochastic partial differential equations with time-fractional derivativesWell-posedness for the fractional Fokker-Planck equationsA Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal ConditionsThe stochastic Fubini theorem revisitedA BMO estimate for stochastic singular integral operators and its application to SPDEsSemi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process



Cites Work


This page was built for publication: On the Itô--Wentzell formula for distribution-valued processes and related topics