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arXiv · 1411.6145

An Itō formula in the space of tempered distributions

Suprio Bhar
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Abstract

We extend the Itō formula \cite{MR1837298}*{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.

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Suprio Bhar. 2014-11-22. An Itō formula in the space of tempered distributions. https://doi.org/10.1007/s10959-015-0639-3

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