Itô’s formula for the Lp-norm of stochastic $${W^{1}_{p}}$$ -valued processes

By Nicolai V. Krylov. 2008

92 citations recorded by the source corpus.

We prove Itô’s formula for the Lp-norm of a stochastic $${W^{1}_{p}}$$ -valued processes appearing in the theory of SPDEs in divergence form.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/dfa742d181a0da583d14a0cd6db6b2651d80a98e

Citations in the corpus

• Stochastic Variational Inequalities and Applications to the Total Variation Flow Perturbed by Linear Multiplicative Noise (2012, unknown): “1 in [28], applied with ft := ψ̃λ(∇Xλ(t)) (≤ 1 + λ|∇Xλ(t)|) f ◦ t := 0 g t := μkekXλ(t), we have the following Itô formula for the L (O)-norm P-a.”