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

2009/04/17 by Н. В. Крылов, Krylov, N. V. · 3 citations
Economics, Econometrics and Finance · #60H05 #60H15 #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.0904.2752

openalex publication_date 2009/04/17 · 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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