A Meyer-Itô formula for stable processes via fractional calculus

DOI10.1007/s13540-023-00139-2zbMath1511.60099arXiv2209.01184OpenAlexW4353044822MaRDI QIDQ6045942

Gerónimo Uribe Bravo, Alejandro Santoyo Cano

Publication date: 15 May 2023

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.01184

zbMATH Keywords

stable processesRiemann-Liouville fractional operatorssemimartingale decompositionLizorkin spaceItô-Tanaka formulae

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Fractional partial differential equations (35R11)

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