Itô’s formula for jump processes in Lp-spaces

István Gyöngy and Sizhou Wu

Stochastic Processes and their Applications, 2021, vol. 131, issue C, 523-552

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, which can be used to prove existence and uniqueness theorems in Lp-spaces for SPDEs driven by Lévy processes.

Keywords: Itô formula; Random measures; Lévy processes (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2020.10.001

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