An Itō Formula in the Space of Tempered Distributions View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2017-06

AUTHORS

Suprio Bhar

ABSTRACT

We extend the Itō formula (Rajeev in From Tanaka’s formula to Ito’s formula: distributions, tensor products and local times, Springer, Berlin, 2001, Theorem 2.3) for semimartingales with paths that are right continuous and have left limits. We also comment on the local time process of such semimartingales. We apply the Itō formula to Lévy processes to obtain existence of solutions to certain classes of stochastic differential equations in the Hermite–Sobolev spaces. More... »

PAGES

510-528

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10959-015-0639-3

DOI

http://dx.doi.org/10.1007/s10959-015-0639-3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1050639810


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