arXiv:1009.3526 Abstract | arXiv Analytics

arXiv:1009.3526 [math.PR]Abstract References Reviews Resources

A mild Ito formula for SPDEs

Giuseppe Da Prato, Arnulf Jentzen, Michael Roeckner

Published 2010-09-18, updated 2012-07-25Version 4

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.

Comments: 39 pages, 0 figures

Categories: math.PR, math.AP

Subjects: 60H15, 35R60

Keywords: mild ito formula, mild ito processes, ito type formula, stochastic processes, numerical approximation processes

Related articles: Most relevant | Search more

arXiv:1612.03210 [math.PR] (Published 2016-12-09)

On the mild Itô formula in Banach spaces

Sonja Cox, Arnulf Jentzen, Ryan Kurniawan, Primož Pušnik

arXiv:1412.5032 [math.PR] (Published 2014-12-16)

Almost automorphy and various extensions for stochastic processes

Fazia Bedouhene, Nouredine Challali, Omar Mellah, Paul Raynaud De Fitte, Mannal Smaali

arXiv:2210.01524 [math.PR] (Published 2022-10-04)