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arXiv · 1009.3526

A mild Ito formula for SPDEs

Giuseppe Da Prato·Arnulf Jentzen·Michael Roeckner
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Abstract

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.

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Giuseppe Da Prato, Arnulf Jentzen, Michael Roeckner. 2010-09-18. A mild Ito formula for SPDEs. https://doi.org/10.1090/tran/7165

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