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

2009/04/17 by Н. В. Крылов, N. V. Krylov, Krylov, N. V. · 4 citations
Economics, Econometrics and Finance · Mathematics · #60H05 #60H15 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60H05 #msc:60H15

paper · pdf · doi:10.48550/arxiv.0904.2752

19 pages. The main result is now stronger

openalex publication_date 2009/04/17 · arxiv created 2009/07/15 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We prove the Itô-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the Itô-Wentzell formula for real-valued processes, appropriate versions of which are also proved.

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