A Functional Ito-Formula for Dawson-Watanabe Superprocesses

Christian Mandler; Ludger Overbeck

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arXiv · 2010.02274

A Functional Ito-Formula for Dawson-Watanabe Superprocesses

Christian Mandler·Ludger Overbeck

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Abstract

We derive an Ito-formula for the Dawson-Watanabe superprocess, a well-known class of measure-valued processes, extending the classical Ito-formula with respect to two aspects. Firstly, we extend the state-space of the underlying process $(X(t))_{t\in [0,T]}$ to an infinite-dimensional one - the space of finite measure. Secondly, we extend the formula to functions $F(t,X_t)$ depending on the entire paths $X_t=(X(s\wedge t))_{s \in [0,T]}$ up to times $t$. This later extension is usually called functional Ito-formula. Finally we remark on the application to predictable representation for martingales associated with superprocesses.

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BibTeX RIS

Christian Mandler, Ludger Overbeck. 2020-10-05. A Functional Ito-Formula for Dawson-Watanabe Superprocesses. https://arxiv.org/abs/2010.02274

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