All Questions

$\newcommand{\d}{\mathrm{d}}$It is well-known that differentiating stochastic processes with respect to time is usually impossible in the usual sense. For instance, a Brownian motion $W$ on a ...

Let $\mu$ and $\nu$ be two probability measures on $\mathbb R^d$ with finite first movements, i.e. $$\int_{\mathbb R^d}|x|~\mu(dx),\quad \int_{\mathbb R^d}|x|~\nu(dx) \quad <\quad +\infty.$$ $\mu$...

Let $W=\{W_t\}_{t\in[0;T]}$ be a real-valued Brownian motion, $\{F_t\}_{t\in [0;T]}$ the filtration generated by $W$, augmented with the nullsets, let $C\in (0;\infty)$ and $\{a_t\}_{t\in[0;T]}$ be a ...

Let $(\Omega,\mathcal A,(\mathcal F_t)_{t\in[0,\:T]},\operatorname P)$ be a filtered probability space $U,H$ be separable $\mathbb R$-Hilbert spaces $(e_n)_{n\in\mathbb N}$ and $(f_n)_{n\in\mathbb N}$...

Is there an extension of Ito's Lemma where $X_t$ is a semi-martingale and $f:\mathbb{R}^d \rightarrow \mathbb{R}$ is a function which is not smooth? I've been looking but have not found much, any ...

I ask this question because I found in some papers of martingale solutions to SPDE, to prove the approximate solutions $u_n$ is a convergent sequence, one can use "stochastic compact" method to find ...