Distributional Itô's Formula and Regularization of Generalized Wiener Functionals

Abstract

We investigate Bochner integrabilities of generalized Wiener functionals. We further formulate an Itô formula for a diffusion in a distributional setting, and apply to investigate differentiability-index $s$ and integrability-index $p⩾2$ for which the Bochner integral belongs to ${\mathbb{D}}_p^s$.

45 pages

References in corpus (1)

• Local times of stochastic differential equations driven by fractional Brownian motions