An It\=o formula in the space of tempered distributions
Probability
2016-09-23 v1
Abstract
We extend the It\=o formula \cite{MR1837298}*{Theorem 2.3} for semimartingales with rcll paths. We also comment on Local time process of such semimartingales. We apply the It\=o formula to L\'evy processes to obtain existence of solutions to certain classes of stochastic differential equations in the Hermite-Sobolev spaces.
Keywords
Cite
@article{arxiv.1411.6145,
title = {An It\=o formula in the space of tempered distributions},
author = {Suprio Bhar},
journal= {arXiv preprint arXiv:1411.6145},
year = {2016}
}