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Stochastic ordinary and partial differential equations generalize the concepts of ordinary and partial differential equations to the setting where the unknown is a stochastic process.

1 vote

Is there an Itō formula for random functions in infinite-dimensions?

The case when the drift and diffusion coefficients for $X$ are bounded is easy-- the following hand wavy proof is almost a proof. Because of the isometries between all seperable Hilbert spaces and the …
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