Itô's formula for the L p-norm of stochastic wp1-valued processes

Probability Theory and Related Fields

Volumn 147, Issue 3, 2010, Pages 583-605

  Krylov, N V ^a  

^a UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Divergence equations; It 's formula; Stochastic partial differential equations

Indexed keywords

EID: 77951938623     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00440-009-0217-7     Document Type: Article

References (9)

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2. Kallianpur, G., Striebel, C.: Stochastic differential equations occurring in the estimation of continuous parameter stochastic processes. Teor. Verojatnost. i Primenen. 14(4), 597-622 (1969)
3. Krylov, N.V.: An analytic approach to SPDEs. In: Stochastic Partial Differential Equations: Six Perspectives, Mathematical Surveys and Monographs, vol. 64, pp. 185-242. AMS, Providence, RI (1999)
4. p without and with weights. In: Chow, P.-L., Mordukhovich, B., Yin, G. (eds.) Topics in Stochastic Analysis and Nonparametric Estimation. IMA Volumes in Mathematics and its Applications, vol. 145, pp. 151-198. Springer, New York (2008)
5. Krylov, N.V.: On divergence form SPDEs with VMO coefficients. SIAM J. Math. Anal. 40(6), 2262-2285 (2009)
6. Krylov, N.V.: Filtering equations for partially observable diffusion processes with Lipschitz continuous coefficients. In: The Oxford Handbook of Nonlinear Filtering. Oxford University Press, Oxford (To appear)
7. Krylov, N.V., Rozovsky, B.L.: Stochastic evolution equations, "Itogy nauki i tekhniki" 14, VINITI, Moscow, 71-146 (1979). In Russian; English translation in J. Soviet Math. 16(4), 1233-1277 (1981)
8. Rozovskii, B.L.: Stochastic Evolution Systems. Kluwer, Dordrecht (1990)
9. van Neerven, J.M.A.M., Veraar, M.: On the stochastic Fubini theorem in infinite dimensions. In: Stochastic Partial Differential Equations and Applications-VII. Volume 245 of Lect. Notes Pure Appl. Math., pp. 323-336. Chapman & Hall/CRC, Boca Raton, FL (2006)