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- Title
On Itô formulas for jump processes.
- Authors
Gyöngy, István; Wu, Sizhou
- Abstract
A well-known Itô formula for finite-dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the classical Itô formula for semimartingales with jumps, is then used to obtain a generalisation of an important infinite-dimensional Itô formula for continuous semimartingales from Krylov (Probab Theory Relat Fields 147:583–605, 2010) to a class of L p -valued jump processes. This generalisation is motivated by applications in the theory of stochastic PDEs.
- Subjects
JUMP processes; WIENER integrals; POISSON processes; RANDOM measures; STOCHASTIC integrals; WIENER processes
- Publication
Queueing Systems, 2021, Vol 98, Issue 3/4, p247
- ISSN
0257-0130
- Publication type
Article
- DOI
10.1007/s11134-021-09709-8