Itô's formula for jump processes in $L_p$-spaces

István Gyöngy; Sizhou Wu

paper

Itô's formula for jump processes in $L_{p}$ -spaces

arXiv:1904.12898

Abstract

We present an Itô 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, and which can be used to prove existence and uniqueness theorems in $L_{p}$ -spaces for SPDEs driven by Lévy processes.

Cited by in corpus (1)

On Itô formulas for jump processes

Itô's formula for jump processes in Lp​-spaces

Abstract

Cited by in corpus (1)

Itô's formula for jump processes in $L_{p}$ -spaces