On the It\^o-Wentzell formula for distribution-valued processes and related topics
Probability
2009-07-15 v2
Abstract
We prove the It\^o-Wentzell formula for processes with values in the space of generalized functions by using the stochastic Fubini theorem and the It\^o-Wentzell formula for real-valued processes, appropriate versions of which are also proved.
Keywords
Cite
@article{arxiv.0904.2752,
title = {On the It\^o-Wentzell formula for distribution-valued processes and related topics},
author = {N. V. Krylov},
journal= {arXiv preprint arXiv:0904.2752},
year = {2009}
}
Comments
19 pages. The main result is now stronger