Itô’s formula for jump processes in Lp-spaces

István Gyöngy; Sizhou Wu

doi:10.1016/j.spa.2020.10.001

Itô’s formula for jump processes in L_p-spaces

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István Gyöngy
Sizhou Wu

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School of Mathematics

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https://arxiv.org/abs/1904.12898

Original language	English
Pages (from-to)	523-552
Number of pages	33
Journal	Stochastic processes and their applications
Volume	131
Early online date	9 Oct 2020
DOIs	https://doi.org/10.1016/j.spa.2020.10.001
Publication status	E-pub ahead of print - 9 Oct 2020

Abstract

We present an Itô formula for the Lp-norm of jump processes having stochastic differentials in Lp-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 Lp-spaces for SPDEs driven by Lévy processes.

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