"The direct approach" for a proof of the generalized Ito-Wentzell formula for a generalized stochastic differential equation

2013/09/13 by Elena Karachanskaya, Karachanskaya, Elena V.
Economics, Econometrics and Finance · #60H30 #FOS: Mathematics #Primary: 60G60 #Probability (math.PR) #Secondary: 60H15 #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1309.3365

openalex publication_date 2013/09/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper is complete proof of one method for obtaining the generalized Ito-Wentzell formula, its basic idea was announced earlier in a pre-print (arXiv:1309.3038v1). This proof sets the approach which uses the Ito formula and the stochastic approximation theory.

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