scientific article

zbMath0979.60030MaRDI QIDQ2725618

B. Rajeev

Publication date: 3 February 2002

Full work available at URL: http://www.numdam.org/item?id=SPS_2001__35__371_0

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Hilbert spacesemimartingaletensorial integrationinfinite-dimensional approachItô formulaeTanaka formulae

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic integrals (60H05) Local time and additive functionals (60J55)

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An Itō formula in the space of tempered distributions ⋮ Application of Itô processes and Schwartz distributions to local volatility for Margrabe options ⋮ Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise ⋮ Tempered generalized functions and Hermite expansions ⋮ Probabilistic representations of solutions of the forward equations ⋮ A class of stochastic differential equations with pathwise unique solutions ⋮ THE MONOTONICITY INEQUALITY FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS

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