A mild Ito formula for SPDEs
Probability
2021-11-02 v4 Analysis of PDEs
Abstract
This article introduces a certain class of stochastic processes, which we suggest to call mild Ito processes, and a new - somehow mild - Ito type formula for such processes. Examples of mild Ito processes are mild solutions of SPDEs and their numerical approximation processes.
Cite
@article{arxiv.1009.3526,
title = {A mild Ito formula for SPDEs},
author = {Giuseppe Da Prato and Arnulf Jentzen and Michael Roeckner},
journal= {arXiv preprint arXiv:1009.3526},
year = {2021}
}
Comments
39 pages, 0 figures