Work

The C0,1 Itô-Ventzell formula for weak Dirichlet processes

Year: 2025

Type: article

Abstract: 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.

Source: Electronic Communications in Probability

DOI: 10.1214/25-ecp686

Authors: Felix Fießinger, Mitja Stadje

Institution: Universität Ulm

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W4410237180