It\^o's formula for jump processes in $L_p$-spaces
Probability
2019-05-01 v1
Abstract
We present an It\^o formula for the -norm of jump processes having stochastic differentials in -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 -spaces for SPDEs driven by L\'evy processes.
Keywords
Cite
@article{arxiv.1904.12898,
title = {It\^o's formula for jump processes in $L_p$-spaces},
author = {István Gyöngy and Sizhou Wu},
journal= {arXiv preprint arXiv:1904.12898},
year = {2019}
}