ON IT^O FORMULAS FOR JUMP PROCESSES

Istvan Gyongy, Sizhou Wu

Research output: Contribution to journalArticlepeer-review

Abstract

A well-known Itô formula for finite dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is revised. The revised formula, which corresponds to the classical Itô formula for semimartingales with jumps, is then used to obtain a generalisation of an important infinite dimensional Itô formula for continuous semimartingales proved by Krylov to a class of Lp-valued jump processes. This generalisation is motivated by applications in the theory of stochastic PDEs.
Original languageEnglish
Number of pages22
JournalQueueing Systems
Publication statusAccepted/In press - 30 Jun 2021

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