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arXiv · 0904.2752

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

N. V. Krylov
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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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N. V. Krylov. 2009-07-15. On the Itô-Wentzell formula for distribution-valued processes and related topics. https://arxiv.org/abs/0904.2752

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