The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes

Felix Fießinger; Mitja Stadje

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arXiv · 2307.16519

The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes

Felix Fießinger·Mitja Stadje

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Abstract

This paper proves an extension of the It\^o-Ventzell formula that applies to stochastic flows in $C^{0,1}$ for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of time-dependent elliptic SPDEs, to derive formulas for quadratic variations, and to relax assumptions in a financial mathematics context.

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BibTeX RIS

Felix Fießinger, Mitja Stadje. 2023-07-31. The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes. https://arxiv.org/abs/2307.16519

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