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Itô’s formula for jump processes in Lp-spaces
Stochastic Processes and their Applications ( IF 1.1 ) Pub Date : 2021-01-01 , DOI: 10.1016/j.spa.2020.10.001
István Gyöngy , Sizhou Wu

Abstract We present an Ito formula for the L p -norm of jump processes having stochastic differentials in L p -spaces. The main results extend well-known theorems of Krylov to the case of processes with jumps, which can be used to prove existence and uniqueness theorems in L p -spaces for SPDEs driven by Levy processes.

中文翻译:

Lp 空间中跳跃过程的 Itô 公式

摘要 我们提出了在 L p 空间中具有随机微分的跳跃过程的 L p 范数的 Ito 公式。主要结果将著名的 Krylov 定理扩展到有跳跃过程的情况,可用于证明 Levy 过程驱动的 SPDE 在 L p 空间中的存在性和唯一性定理。
更新日期:2021-01-01
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