An Itō formula in the space of tempered distributions (Q2360638)

The paper deals with the Itō formula for semimartingales in the space of tempered distributions. The semimartingales have càdlàg paths, that is, paths that are right continuous and have left limits (rcll for short). The paper is an extension of the Itō formulas obtained for distribution-valued continuous semimartingales. The paper consists of four sections and 19 references. The first two sections, very short, have introductory character. The first section shortly describes the content of the paper. Section 2 introduces topologies on the space of test functions and the dual space, that is, the space of tempered distributions. In particular, the Hermite-Sobolev spaces and their dual spaces are defined. In Section 3, some properties of stochastic integrals are presented. Section 4 contains the main result of the paper, Theorem 4.5. The proof of this theorem is a long and technical one, which is given in 4 steps. The author gives three auxiliary lemmas (4.1--4.3), which are used in the proof of Theorem 4.5. Section 4 supplies an application of the obtained results on the existence of solutions to a class of stochastic differential equations in Hermite-Sobolev spaces. The application is formulated in Theorem 4.7 (given with proof). The references are representative for the problem studied in the paper. Perhaps the books written by \textit{J.~Bertoin} [Lévy processes. Cambridge: Cambridge University Press (1996; Zbl 0861.60003)] and \textit{S. Peszat} and \textit{J. Zabczyk} [Stochastic partial differential equations with Lévy noise. An evolution equation approach. Cambridge: Cambridge University Press (2007; Zbl 1205.60122)] should be cited as well. In my opinion, the paper is well-written with necessary details. It should be interesting for people working with stochastic differential equations in distribution spaces.