The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes
Probability
2025-04-10 v4
Abstract
This paper proves an extension of the It\^o-Ventzell formula that applies to stochastic flows in for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of time-dependent elliptic SPDEs, to derive formulas for quadratic variations, and to relax assumptions in a financial mathematics context.
Cite
@article{arxiv.2307.16519,
title = {The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes},
author = {Felix Fießinger and Mitja Stadje},
journal= {arXiv preprint arXiv:2307.16519},
year = {2025}
}