Itô's formula for jump processes in $L_p$-spaces

István Gyöngy; Sizhou Wu

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arXiv · 1904.12898

Itô's formula for jump processes in $L_p$-spaces

István Gyöngy·Sizhou Wu

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Abstract

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

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BibTeX RIS

István Gyöngy, Sizhou Wu. 2019-04-29. Itô's formula for jump processes in $L_p$-spaces. https://arxiv.org/abs/1904.12898

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