An Itō formula in the space of tempered distributions

2014/11/22 by Suprio Bhar
Mathematics · #math.PR #msc:60H05 #msc:60H10 #msc:60H15

paper · pdf · doi:10.1007/s10959-015-0639-3

arxiv created 2014/11/22 · arxiv updated 2016/09/23

Abstract

We extend the Itō formula \citeMR1837298*Theorem 2.3 for semimartingales with rcll paths. We also comment on 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.

Cited by

• Itô's formula for Lévy-Itô processes taking values in the dual of nuclear space