The C0,1 Itô-Ventzell formula for weak Dirichlet processes
This paper proves an extension of the Itô-Ventzell formula that applies to stochastic flows in C0,1 for continuous weak Dirichlet processes. We apply this theorem, for example, to give a representation result for strong solutions of time-dependent elliptic SPDEs, to derive formulas for quadratic variations, and to relax assumptions in a financial mathematics context.
Authors
- Mitja Stadje (ORCID: https://orcid.org/0000-0002-1816-7461)
- Felix Fießinger (ORCID: https://orcid.org/0009-0000-6471-7957)
Institutions
- Universität Ulm (DE)
Publication Details
- Journal
- Electronic Communications in Probability
- Published
- 2025-01-01
- DOI
- https://doi.org/10.1214/25-ecp686
- Primary Topic
- advanced mathematical theories
- Type
- article
- Field-Weighted Citation Impact
- 0.00